Big Data and Artificial Intelligence will have a profound transformational impact on governments around the world. Thus, it is important for scholars to provide a useful analysis on the topic to public managers and policymakers. This study offers an in-depth review of the Policy and Administration literature on the role of Big Data and advanced analytics in the public sector. It provides an overview of the key themes in the research field, namely the application and benefits of Big Data throughout the policy process, and challenges to its adoption and the resulting implications for the public sector. It is argued that research on the subject is still nascent and more should be done to ensure that the theory adds real value to practitioners. A critical assessment of the strengths and limitations of the existing literature is developed, and a future research agenda to address these gaps and enrich our understanding on the topic is proposed.