In the last few years, electron microscopy has experienced a new methodological paradigm aimed to fix the bottlenecks and overcome the challenges of its analytical workflow. Machine learning and artificial intelligence are answering this call providing powerful resources towards automation, exploration, and development. In this review, we evaluate the state-of-the-art of machine learning applied to electron microscopy (and obliquely, to materials and nano-sciences). We start from the traditional imaging techniques to reach the newest higher-dimensionality ones, also covering the recent advances in spectroscopy and tomography. Additionally, the present review provides a practical guide for microscopists, and in general for material scientists, but not necessarily advanced machine learning practitioners, to straightforwardly apply the offered set of tools to their own research. To conclude, we explore the state-of-the-art of other disciplines with a broader experience in applying artificial intelligence methods to their research (e.g., high-energy physics, astronomy, Earth sciences, and even robotics, videogames, or marketing and finances), in order to narrow down the incoming future of electron microscopy, its challenges and outlook.