The demand for fast and accurate electromagnetic solutions to support current and emerging technologies has fueled the rapid development of various machine learning techniques for applications such as antenna design and optimization, microwave imaging, device diagnostics, and more. Multi-fidelity (MF) surrogate modeling methods have shown great promise in significantly reducing computational costs associated with surrogate modeling while maintaining high model accuracy. This work offers a comprehensive review of the available MF surrogate modeling methods in electromagnetics, focusing on specific methodologies, related challenges, and the generation of variable-fidelity datasets. The article is structured around the two main types of electromagnetic problems: forward and inverse. It begins by summarizing key machine learning concepts and limitations. This transitions to discussing multi-fidelity surrogate model architectures and low-fidelity data techniques for the forward problem. Subsequently, the unique challenges of the inverse problem are presented, along with traditional solutions and their limitations. Following this, the review examines MF surrogate modeling approaches tailored to the inverse problem. In conclusion, the review outlines promising future directions in MF modeling for electromagnetics, aiming to provide fundamental insights into understanding these developing methods.