Soft Sensors (SSs) are inferential dynamical models employed in industries to perform prediction of process hard-to-measure variables based on their relation with easily accessible ones. They allow implementation of real-time control and monitoring of the plants and present other advantages in terms of costs and efforts. Given the complexity of industrial processes, these models are generally designed with data-driven black-box machine learning (ML) techniques. ML methods work well only if the data on which the prediction is performed share the same distribution with the one on which the model was trained. This is not always possible, since plants can often show new working conditions. Even similar plants show different data distributions, making SSs not scalable between them. Models should then be created from scratch with highly time-consuming procedures. Transfer Learning (TL) is a field of ML that re-uses the knowledge from one task to learn a new different, but related, one. TL techniques are mainly used for classification tasks. Only recently TL techniques have been adopted in the SS field. The proposed survey reports the state of the art of TL techniques for nonlinear dynamical SSs design. Methods and applications are discussed and the new directions of this research field are depicted.