Over the last years, gas-fired power capacity investments in electricity networks have increased in many countries due to its low-rate of greenhouse gas emissions and the continuous reduction in the natural gas price. Besides, new power-to-gas technologies have attracted attention in the sector as an alternative for harvesting large shares of renewable generation. Thus, the coupling between power and gas networks is becoming more critical. New complementarities arise from the synergies of the co-optimization of both power and natural gas systems operation in terms of reliability, sustainability, and economic efficiency. In this regard, jointly planning of power and natural gas systems could leverage potential benefits for the optimal coordination of both grids. In this survey, we present a comprehensive investigation of recent literature in the contexts of coordinated planning of the gas and electricity systems. We first provide a thorough study of energy systems planning. Later, the planning issues of both power and gas grids are investigated, including modeling aspects, typical operational constraints, and objectives that drive investments, as well as uncertainties associated. Then, international experiences are presented to compare the mathematical approaches to the planning of electricity and natural grids. Finally, discussion about future research opportunities and conclusions are presented.