In digital interactive learning environments, pedagogical agents are digital characters that assist instruction, providing learners with coaching, feedback, as well as emotional and social support. Recently, increased work has explored how animated, actual, or artificial pedagogical agents impact learning. Some studies found that agents promote learning, while some revealed that agents increased the workload and caused learners to lose focus. Especially poorly designed pedagogical agents would aggravate learners’ external cognitive load, negatively affecting learning performance and experience. This work reviewed how features of pedagogical agent roles affect learners’ retention and transfer performance, as well as the learning experience. It extracted five features, including appearance, gender, facial expression, sound, and movements, then discussed their impact. The survey concludes with the implications for designing effective agents.