Autonomous driving is one of the three major innovations in automotive industry. Deep learning is a crucial method to improve automotive intelligence due to its outstanding abilities of data fitting, feature representation and model generalization. This paper reviewed the technologies of deep neural network (DNN) for autonomous vehicles, which covered its history, main algorithms and key technical application. The historical timeline of DNN, its “Unit-Layer-Network” architecture, and two types of representative models were introduced. The training algorithms centered on back propagation (BP), labelled datasets and free-source frameworks for deep learning were summarized, followed by the introduction to computing platforms and model optimization technologies. Finally, the applications of DNN in autonomous vehicles were discussed, including object detection and semantic segmentation, hierarchical and end-to-end decision-making, longitudinal and lateral motion control. The applicable methods and future works for different key problems of DNN in autonomous vehicles were pointed out.