Breast cancer was the most diagnosed cancer in 2020. Several thousand women continue to die from this disease. A better and earlier diagnosis may be of great importance to improving prognosis, and that is where Artificial Intelligence (AI) could play a major role. This paper surveys different applications of AI in Breast Imaging. First, traditional Machine Learning and Deep Learning methods that can detect the presence of a lesion and classify it into benign/malignant—which could be important to diminish reading time and improve accuracy—are analyzed. Following that, researches in the field of breast cancer risk prediction using mammograms—which may be able to allow screening programs customization both on periodicity and modality—are reviewed. The subsequent section analyzes different applications of augmentation techniques that allow to surpass the lack of labeled data. Finally, still concerning the absence of big datasets with labeled data, the last section studies Self-Supervised learning, where AI models are able to learn a representation of the input by themselves. This review gives a general view of what AI can give in the field of Breast Imaging, discussing not only its potential but also the challenges that still have to be overcome.