We provide a review of recent advancements in non-local continuous models for migration, mainly from the perspective of its involvement in embryonal development and cancer invasion. Particular emphasis is placed on spatial non-locality occurring in advection terms, used to characterize a cell's motility bias according to its interactions with other cellular and acellular components in its vicinity (e.g. cell-cell and cell-tissue adhesions, non-local chemotaxis), but we also briefly address spatially non-local source terms. Following a short introduction and description of applications, we give a systematic classification of available PDE models with respect to the type of featured non-localities and review some of the mathematical challenges arising from such models, with a focus on analytical aspects. This article is part of the theme issue 'Multi-scale analysis and modelling of collective migration in biological systems'.