At present, sexual robots have become a new paradigm of social robots. In this paper, we developed a systematic literature review about sexual robots (sexbots). To do this, we used the Scopus and WoS databases to answer different research questions regarding the design, interaction, and gender and ethical approaches from 1980 until 2020. In our review, we found a male bias in this discipline, and in recent years, articles have shown that user opinion has become more relevant. Some insights and recommendations on gender and ethics in designing sexual robots were also made.