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The progress of machine learning (ML) in the past years has opened up new opportunities to the field of gas turbine (GT) modelling. However, successful implementation of ML algorithms remains challenging, particularly for complex problems such as multi-mode faults. An important tool for enabling applications are the feature selection and feature learning (FSFL) techniques. In particular, FL techniques have recently facilitated and improved the applicability of ML to GT modelling. This review paper conducts a review on 46 studies that utilised FSFL for GT modelling with ML. The purpose of this review is to investigate how FSFL techniques can help address GT modelling challenges and when researchers should deploy them. Therefore, the theories behind the techniques are illustrated in depth along with practical application examples from the analysed literature. The advantages and limitations of FSFL are discussed, the computational costs of different techniques are compared, and trends in the field are highlighted. Consequently, a novel categorisation framework for FSFL techniques and recommendations regarding when and how to implement them are provided. A new knowledge accumulation, extraction, and transfer concept is proposed to address GT modelling challenges. [ABSTRACT FROM AUTHOR]