Spray freezing technology finds broad applications across various industries such as food and pharmaceutical, mining, and water treatment. The significance of spray freezing is to offer a clean and renewable mechanism to generate heating and cooling potentials, frozen particles, or purified liquids. While several studies on spray freezing has been reported in the literature, no compilation of the findings is available, hindering further development of this technology. This paper reviews the diverse applications of spray freezing, emphasizing its potential to address engineering problems. The multi-scale multi-physics nature of the process is illuminated by shedding light on the significant physical mechanisms, including the droplet freezing and spray physics. The modeling advancements related to these phenomena are reviewed, showing the strengths and deficiencies of the current mathematical frameworks for spray freezing. It is underscored that further development of spray freezing requires high resolution frameworks, incorporating the droplet freezing and dynamics models while considering two-way coupling effects of the thermal and flow models of the droplet and cold medium. Additionally, the importance of studying the methods to mitigate the nucleation process of water in an industrially-relevant manner is highlighted.