In recent years, Simultaneous Localization And Mapping (SLAM) technology has prevailed in a wide range of applications, such as autonomous driving, intelligent robots, Augmented Reality (AR), and Virtual Reality (VR). Multi-sensor fusion using the most popular three types of sensors (e.g., visual sensor, LiDAR sensor, and IMU) is becoming ubiquitous in SLAM, in part because of the complementary sensing capabilities and the inevitable shortages (e.g., low precision and long-term drift) of the stand-alone sensor in challenging environments. In this article, we survey thoroughly the research efforts taken in this field and strive to provide a concise but complete review of the related work. Firstly, a brief introduction of the state estimator formation in SLAM is presented. Secondly, the state-of-the-art algorithms of different multi-sensor fusion algorithms are given. Then we analyze the deficiencies associated with the reviewed approaches and formulate some future research considerations. This paper can be considered as a brief guide to newcomers and a comprehensive reference for experienced researchers and engineers to explore new interesting orientations.