With the rapid development of related technologies, sensors carried by unmanned aerial vehicles (UAVs) are becoming more precise and multifarious, which endows UAVs with strong sensing ability, and poses a large challenge to the processing and analysis of multi-sensor data in UAV applications. Data fusion is the key technology to solve this problem, which realizes the fusion and utilization of multi-sensor data through the process of detection, association, combination and estimation, and obtains accurate UAV state and target information to support decision-making. This study reviews the multi-sensor data fusion research for UAVs. It introduces UAV system components, reviews and classifies UAV multi-sensor data fusion methods, analyzes and compares the characteristics of various methods, summarizes the applications of UAV multi-sensor data fusion in different fields, and finally looks forward to the future development directions of UAV multi-sensor data fusion.