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Simple Summary: Within the rapidly evolving landscape of Machine Learning in the medical field, this paper focuses on the forefront advancements in neuro-oncological radiology. More specifically, it aims to provide the reader with an in-depth exploration of the latest advancements in employing Deep Learning methodologies for the classification of brain tumor radiological images. This review meticulously scrutinizes papers published from 2018 to 2023, unveiling ongoing topics of research while underscoring the main remaining challenges and potential avenues for future research identified by those studies. Beyond the review itself, the paper also underscores the importance of placing the image data modelling provided by Deep Learning techniques within the framework of analytical pipeline research. This means that data quality control and pre-processing should be correctly coupled with modelling itself, in a way that emphasizes the importance of responsible data utilization, as well as the critical need for transparency in data disclosure to ensure trustworthiness and reproducibility of findings. Machine Learning is entering a phase of maturity, but its medical applications still lag behind in terms of practical use. The field of oncological radiology (and neuro-oncology in particular) is at the forefront of these developments, now boosted by the success of Deep-Learning methods for the analysis of medical images. This paper reviews in detail some of the most recent advances in the use of Deep Learning in this field, from the broader topic of the development of Machine-Learning-based analytical pipelines to specific instantiations of the use of Deep Learning in neuro-oncology; the latter including its use in the groundbreaking field of ultra-low field magnetic resonance imaging. [ABSTRACT FROM AUTHOR]