Abrasive water jet (AWJ) machining is one of the advanced machining techniques used in the industries for processing materials that are extremely difficult to machine using conventional machining techniques. Based on the flexibility of AWJ, this process is currently employed for milling blind pockets over different materials. The most frequent method for making blind pockets in AWJ is the controlled depth milling mode. This approach was carried out with the raster tool paths. The quality of the blind pocket surface is influenced by different AWJ parameters such as water jet pressure, traverse speed, step-over distance, abrasive flow rate, and abrasive types. Among these, the traverse rate was found to be an influencing factor in most of the AWJ milling operations as it determines the nozzle speed followed by the energy density of the abrasive particle drops while striking across the target material surface, which resulted in a controlled depth of cut. This review paper highlights the performance of the AWJ pocket milling operations with various materials. From these results, it is reported that most of the AWJ milled surfaces were found to be of rough quality even though they were using different milling tool path strategies and parameter conditions. In addition, the milled pocket defects, namely uneven flatness, grit embedment, and undercut were observed. Besides, future research and directions have been addressed in which some of the novel concepts/approaches have been introduced including the scale effect examination in AWJ with the use of different nozzle, orifice, and abrasive sizes. This study will be more helpful to produce blind pockets with tight tolerances and a significant reduction in the process defects. The outcomes of this study will bring new innovations to the AWJ milling technique in order to make a significant footprint in the manufacturing industries for machining quality blind pockets over the target materials.