The radio-over-fiber (RoF) technology has been widely studied during the past decades to extend the wireless communication coverage by leveraging the low-loss and broad bandwidth advantages of the optical fiber. With the increasing need for wireless communications, using millimeter-waves (mm-wave) in wireless communications has become the recent trend and many attempts have been made to build high-throughput and robust mm-wave RoF systems during the past a few years. Whilst the RoF technology provides many benefits, it suffers from several fundamental limitations due to the analog optical link, including the fiber chromatic dispersion and nonlinear impairments. Various approaches have been proposed to address these limitations. In particular, machine learning (ML) algorithms have attracted intensive research attention as a promising candidate for handling the complicated physical layer impairments in RoF systems, especially the nonlinearity during signal modulation, transmission and detection. In this paper, we review recent advancements in ML techniques for RoF systems, especially those which utilize ML models as physical layer signal processors to mitigate various types of impairments and to improve the system performance. In addition, ML algorithms have also been widely adopted for highly efficient RoF network management and resource allocation, such as the dynamic bandwidth allocation and network fault detection. In this paper, we also review the recent works in these research domains. Finally, several key open questions that need to be addressed in the future and possible solutions of these questions are also discussed.