Personalised adaptive learning is becoming increasingly popular as a method of providing each student on an online platform with learning experiences that are tailored to their own requirements and peculiarities. This enables learners to go along many learning routes with the shared objective of information and skill development. In such systems, adaptivity and intelligence play distinct roles, with adaptivity being a more data-driven decision-making approach and intelligence being the emulation of human traits in a learning setting. Pedagogical agents, as defined in the field of artificial intelligence, are virtual characters with anthropomorphic features that are introduced for educational reasons. Because e-learning is a continuously growing area, the responsibilities of pedagogical agents change based on the goals that have been established for them. This article provides a systematic evaluation of pedagogical agents’ research and empirical data in e-learning from 2015 to 2022. Their responsibilities will be examined specifically in terms of flexibility and variety, realistic simulation, and their influence on learning: performance improvement, improved motivation, and engagement. The article finishes with a discussion and recommendations on pedagogical agents’ future directions in this ever-changing world of individualised adaptive e-learning.