Real-time feedback-driven single-particle tracking (RT-FD-SPT) is a class of techniques in the field of single-particle tracking that uses feedback control to keep a particle of interest in a detection volume. These methods provide high spatiotemporal resolution on particle dynamics and allow for concurrent spectroscopic measurements. This review article begins with a survey of existing techniques and of applications where RT-FD-SPT has played an important role. Each of the core components of RT-FD-SPT are systematically discussed in order to develop an understanding of the trade-offs that must be made in algorithm design and to create a clear picture of the important differences, advantages, and drawbacks of existing approaches. These components are feedback tracking and control, ranging from simple proportional-integral-derivative control to advanced nonlinear techniques, estimation to determine particle location from the measured data, including both online and offline algorithms, and techniques for calibrating and characterizing different RT-FD-SPT methods. Then a collection of metrics for RT-FD-SPT is introduced to help guide experimentalists in selecting a method for their particular application and to help reveal where there are gaps in the techniques that represent opportunities for further development. Finally, this review is concluded with a discussion on future perspectives in the field.