Auditory learning is becoming increasingly important for embodied intelligence because sound provides information that may be unavailable or ambiguous in vision and language alone, including out-of-view events, physical interactions, spatial structure, task intent, and human affective states. Current research is progressing from isolated auditory perception toward embodied agents that use sound to support reasoning, action, and interaction. However, relevant studies remain fragmented across different tasks, system settings, and research communities, making it difficult to identify their shared structure, compare methodological progress, and evaluate how auditory information contributes to embodied behavior. This work addresses these issues through a two-axis loop--stage taxonomy. The loop axis comprises the Physical Interaction Loop, the Semantic Grounding-and-Action Loop, and the Socio-Affective Interaction Loop, while the stage axis characterizes how auditory information contributes to Percept, Reason, and Interact. Within this taxonomy, we examine how existing approaches acquire and represent auditory information, integrate it with other modalities, and use it to support embodied perception, reasoning, action, and interaction. We also summarize the associated methods, datasets, benchmarks, and evaluation metrics. Our work reveals a broad shift from task-specific auditory modules toward more integrated embodied systems, while showing that advances in auditory perception have not yet been consistently translated into reliable behavioral improvement. Major challenges therefore lie in robust auditory grounding under real-world conditions, effective integration of sound into decision-making and control, and evaluation that can determine the contribution of audition to embodied behavior.