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Deep space exploration can satisfy humanity's curiosity about the origin of life and the evolution of the universe and enhance our understanding of the internal geological structure and climate change of extraterrestrial bodies. The most direct way to explore extraterrestrial bodies is to sample and analyze the regolith. Drilling is the most effective sampling method, and extraterrestrial regolith drills have helped humans acquire many samples in planetary exploration. Developing high applicable and flexible ERDs for extraterrestrial regolith penetration and sampling has attracted strong attention from scientists and engineers worldwide. This paper presents a detailed review of extraterrestrial drilling technologies. Firstly, the particularities of extraterrestrial drilling are introduced. Then, the ERDs utilized in previous planetary exploration missions and the latest advances are reviewed in detail, including the categories, historical context, and (dis)advantages. Next, the general characteristics of extraterrestrial drilling are summarized, including the mainstream approaches to studying the drilling mechanics and thermophysics. Then, the critical technologies of ERDs, from a conceptual design to a practical prototype, are analyzed in depth. Finally, the prospects for extraterrestrial drilling technology are presented, including water ice drilling, long tunnel boring, deep drilling, and intelligent drilling. [ABSTRACT FROM AUTHOR]