Deep learning, a relatively new branch of machine learning, has been investigated for use in a variety of biomedical applications. Deep learning algorithms have been used to analyze different physiological signals and gain a better understanding of human physiology for automated diagnosis of abnormal conditions. In this paper, we provide an overview of deep learning approaches with a focus on deep belief networks in electroencephalography applications. We investigate the state-of-the-art algorithms for deep belief networks and then cover the application of these algorithms and their performances in electroencephalographic applications. We covered various applications of electroencephalography in medicine, including emotion recognition, sleep stage classification, and seizure detection, in order to understand how deep learning algorithms could be modified to better suit the tasks desired. This review is intended to provide researchers with a broad overview of the currently existing deep belief network methodology for electroencephalography signals, as well as to highlight potential challenges for future research.