The improvements in wind energy infrastructure have been a constant process throughout many decades. There are new advancements in technology that can further contribute toward the prognostics and health management (PHM) in this industry. These advancements are driven by the need to fully explore the impact of uncertainty, quality and quantity of data, physics-based machine learning (PBML), and digital twin (DT). All these aspects need to be taken into consideration to perform an effective PHM of wind energy infrastructure. To address these aspects, four research questions were formulated. What is the role of uncertainty in machine learning (ML) in diagnostics and prognostics? What is the role of data augmentation and quality of data for ML? What is the role of PBML? What is the role of the DT in diagnostics and prognostics? The methodology used was Preferred Reporting Items for Systematic Review and Meta-Analysis. A total of 143 records, from the last five years, were analyzed. Each of the four questions was answered by discussion of literature, definitions, critical aspects, benefits and challenges, the role of aspect in PHM of wind energy infrastructure systems, and conclusion.