For decades, fossil fuels have been the backbone of reliable energy systems, offering unmatched energy density and flexibility. However, as the world shifts toward renewable energy, overcoming the limitations of intermittent power sources requires a bold reimagining of energy storage and integration. Power-to-X (PtX) technologies, which convert excess renewable electricity into storable energy carriers, offer a promising solution for long-term energy storage and sector coupling. Recent advancements in machine learning (ML) have revolutionized PtX systems by enhancing efficiency, scalability, and sustainability. This review provides a detailed analysis of how ML techniques, such as deep reinforcement learning, data-driven optimization, and predictive diagnostics, are driving innovation in Power-to-Gas (PtG), Power-to-Liquid (PtL), and Power-to-Heat (PtH) systems. For example, deep reinforcement learning has improved real-time decision-making in PtG systems, reducing operational costs and improving grid stability. Additionally, predictive diagnostics powered by ML have increased system reliability by identifying early failures in critical components such as proton exchange membrane fuel cells (PEMFCs). Despite these advancements, challenges such as data quality, real-time processing, and scalability remain, presenting future research opportunities. These advancements are critical to decarbonizing hard-to-electrify sectors, such as heavy industry, transportation, and aviation, aligning with global sustainability goals.