This paper reviews the recent developments of design optimization methods for electromagnetic devices, with a focus on machine learning methods. First, the recent advances in multi-objective, multidisciplinary, multilevel, topology, fuzzy, and robust design optimization of electromagnetic devices are overviewed. Second, a review is presented to the performance prediction and design optimization of electromagnetic devices based on the machine learning algorithms, including artificial neural network, support vector machine, extreme learning machine, random forest, and deep learning. Last, to meet modern requirements of high manufacturing/production quality and lifetime reliability, several promising topics, including the application of cloud services and digital twin, are discussed as future directions for design optimization of electromagnetic devices.