The innovation of Search Engine Advertising (SEA) was first introduced in 1998. It soon became a very popular tool among practitioners for promoting their websites on the Web and turned into a billion dollar revenue source for search engines. In parallel with its rapid growth in use, SEA attracted the attention of academic researchers resulting in a large number of publications on the topic of SEA. However, no comprehensive review of this accumulated body of knowledge is currently available. This shortcoming has motivated us to conduct a systematic review of SEA literature. Herewith, we searched for and collected 101 papers on the topic of SEA, published in 72 journals from different disciplines and analyzed them to answer the research questions for this study. We have identified the historical development of SEA literature, predominant journals in the publication of SEA research, active reference disciplines as well as the main researchers in the field of SEA. Moreover, we have classified SEA literature into four categories and 10 research topics. We also uncovered a number of gaps in SEA literature and provided future research direction accordingly.