Pig welfare is closely related to the economical production of pig farms. With regard to pig welfare assessment, pig sounds are significant indicators, which can reflect the quality of the barn environment, the physical condition and the health of pigs. Therefore, pig sound analysis is of high priority and necessary. In this review, the relationship between pig sound and welfare was analyzed. Three kinds of pig sounds are closely related to pig welfare, including coughs, screams, and grunts. Subsequently, both wearable and non-contact sensors were briefly described in two aspects of advantages and disadvantages. Based on the advantages and feasibility of microphone sensors in contactless way, the existing techniques for processing pig sounds were elaborated and evaluated for further in-depth research from three aspects: sound recording and labeling, feature extraction, and sound classification. Finally, the challenges and opportunities of pig sound research were discussed for the ultimate purpose of precision livestock farming (PLF) in four ways: concerning sound monitoring technologies, individual pig welfare monitoring, commercial applications and pig farmers. In summary, it was found that most of the current researches on pig sound recognition tasks focused on the selection of classifiers and algorithm improvement, while fewer research was conducted on sound labeling and feature extraction. Meanwhile, pig sound recognition faces some challenging problems, involving the difficulty in obtaining the audio data from different pig growth stages and verifying the developed algorithms in a variety of pig farms. Overall, it is suggested that technologies involved in the automatic identification process should be explored in depth. In the future, strengthen cooperation among cross-disciplinary experts to promote the development and application of PLF is also nessary.