Industrial control systems (ICSs), supervisory control and data acquisition (SCADA) systems, and distributed control systems (DCSs) are fundamental components of critical infrastructure (CI). CI supports the operation of transportation and health systems, electric and thermal plants, and water treatment facilities, among others. These infrastructures are not insulated anymore, and their connection to fourth industrial revolution technologies has expanded the attack surface. Thus, their protection has become a priority for national security. Cyber-attacks have become more sophisticated and criminals are able to surpass conventional security systems; therefore, attack detection has become a challenging area. Defensive technologies such as intrusion detection systems (IDSs) are a fundamental part of security systems to protect CI. IDSs have incorporated machine learning (ML) techniques that can deal with broader kinds of threats. Nevertheless, the detection of zero-day attacks and having technological resources to implement purposed solutions in the real world are concerns for CI operators. This survey aims to provide a compilation of the state of the art of IDSs that have used ML algorithms to protect CI. It also analyzes the security dataset used to train ML models. Finally, it presents some of the most relevant pieces of research on these topics that have been developed in the last five years.