The recent rise of deep learning (DL) and its promising capabilities in capturing non-explicit detail from large datasets have attracted substantial research attention in the field of medical image processing. DL provides ground for technology development for computer-aided diagnosis and segmentation in radiology and radiation oncology. Amongst the anatomical locations where recent auto-segmentation algorithms have been employed, the pelvis remains one of the most challenging due to large intra- and inter-patient soft-tissue variabilities. This review provides a comprehensive and clinically-oriented overview of DL-based segmentation studies for bladder, prostate, cervical and rectal cancers, highlighting the key findings, challenges and limitations.