<p>Industrial cyber-physical systems closely integrate physical processes with cyberspace, enabling real-time exchange of various information about system dynamics, sensor outputs, and control decisions. The connection between cyberspace and physical processes results in the exposure of industrial production information to unprecedented security risks. It is imperative to develop suitable strategies to ensure cyber security while meeting basic performance requirements. From the perspective of control engineering, this review presents the most up-to-date results for privacy-preserving filtering, control, and optimization in industrial cyber-physical systems. Fashionable privacy-preserving strategies and mainstream evaluation metrics are first presented in a systematic manner for performance evaluation and engineering implementation. The discussion discloses the impact of typical filtering algorithms on filtering performance, specifically for privacy-preserving Kalman filtering. Then, the latest development of industrial control is systematically investigated from consensus control of multi-agent systems, platoon control of autonomous vehicles as well as hierarchical control of power systems. The focus thereafter is on the latest privacy-preserving optimization algorithms in the framework of consensus and their applications in distributed economic dispatch issues and energy management of networked power systems. In the end, several topics for potential future research are highlighted.</p>