Computational modeling has played a key role in advancing the performance and durability of polymer electrolyte membrane fuel cells (PEMFCs). In recent years there has been a significant focus on PEMFC catalyst layers because of their determining impact on cost and and durability. Further progress in the design of better performance, cheaper and more durable catalyst layers is required to pave the way for large scale deployment of PEMFCs. The catalyst layer poses many challenges from a modeling standpoint: it consists of a complex, multi-phase, nanostructured porous material that is difficult to characterize; and it hosts an array of coupled transport phenomena including flow of gases, liquid water, heat and charged occurring in conjunction with electrochemical reactions. This review paper examines several aspects of state-of-the-art modeling and simulation of PEMFC catalyst layers, with a view of synthesizing the theoretical foundations of various approaches, identifying gaps and outlining critical needs for further research. The review starts with a rigorous revisiting of the mathematical framework based on the volume averaging method. Various macroscopic models reported in the literature that describe the salient transport phenomena are then introduced, and their links with the volume averaged method are elucidated. Other classes of modeling and simulation methods with different levels of resolution of the catalyst layer structure, e.g. the pore scale model which treats materials as continuum, and various meso- and microscopic methods, which take into consideration the dynamics at the sub-grid level, are reviewed. Strategies for multiscale simulations that can bridge the gap between macroscopic and microscopic models are discussed. An important aspect pertaining to transport properties of catalyst layers is the modeling and simulation of the fabrication processes which is also reviewed. Last but not least, the review examines modeling of liquid water transport in the catalyst layer and its implications on the overall transport properties. The review concludes with an outlook on future research directions.