Cross domain collaborative control of underwater unmanned systems aims to break the limitations of a single underwater transmission medium by utilizing the technologies and methods, such as sensor fusion, cross domain communication and data processing. It can achieve cross domain information exchange and task collaboration among underwater physical units. It is the trend of future development of unmanned maritime systems, which is crucial for enhancing the intelligence and autonomy of unmanned maritime systems. At present, the theoretical research on cross domain collaborative control of underwater unmanned systems is not yet mature. There are many unresolved challenges in task deployment, information exchange, path planning, and multi-machine control. In view of this, we elaborate on the architecture and main characteristics of underwater unmanned systems under cross domain collaboration of sea and air. We also analyze the challenges and key issues faced by cross domain collaborative control of underwater unmanned systems. Based on this, we sort out the current development status of cross domain collaboration of underwater unmanned systems at home and abroad. The research progresses in underwater mission deployment, information exchange, navigation guidance, and collaborative control are reviewed. Finally, it summarizes and looks forward to the future directions worth exploring for cross domain collaborative control of underwater unmanned systems.