Buildings are responsible for 40% of global energy use and contribute towards 30% of the total CO₂ emissions. The drive to reduce energy use and associated greenhouse gas emissions from buildings has acted as a catalyst in the development of advanced computational methods for energy efficient design, management and control of buildings and systems. Heating, ventilation and air-conditioning (HVAC) systems are the major source of energy consumption in buildings and ideal candidates for substantial reductions in energy demand. Significant advances have been made in the past decades on the application of computational intelligence (CI) techniques for HVAC design, control, management, optimization, and fault detection and diagnosis. This article presents a comprehensive and critical review on the theory and applications of CI techniques for prediction, optimization, control and diagnosis of HVAC systems. The analysis of trends reveals that the minimisation of energy consumption was the key optimization objective in the reviewed research, closely followed by the optimization of thermal comfort, indoor air quality and occupant preferences. Hardcoded Matlab program was the most widely used simulation tool, followed by TRNSYS, EnergyPlus, DOE-2, HVACSim+ and ESP-r. Metaheuristic algorithms were the preferred CI method for solving HVAC related problems and in particular genetic algorithms were applied in most of the studies. Despite the low number of studies focussing on multi-agent systems (MAS), as compared to the other CI techniques, interest in the technique is increasing due to their ability of dividing and conquering an HVAC optimization problem with enhanced overall performance. The paper also identifies prospective future advancements and research directions.