Breast cancer remains the leading cause of cancer-related deaths in women worldwide. Current screening regimens and clinical breast cancer risk assessment models use risk factors such as demographics and patient history to guide policy and assess risk. Applications of artificial intelligence methods (AI) such as deep learning (DL) and convolutional neural networks (CNNs) to evaluate individual patient information and imaging showed promise as personalized risk models. We reviewed the current literature for studies related to deep learning and convolutional neural networks with digital mammography for assessing breast cancer risk. We discussed the literature and examined the ongoing and future applications of deep learning techniques in breast cancer risk modeling.