Healthcare knowledge graphs (HKGs) are valuable tools for organizing biomedical concepts and their relationships with interpretable structures. The recent advent of large language models (LLMs) has paved the way for building more comprehensive and accurate HKGs. This, in turn, can improve the reliability of generated content and enable better evaluation of LLMs. However, the challenges of HKGs such as regarding data heterogeneity and limited coverage are not fully understood, highlighting the need for detailed reviews. This work provides the first comprehensive review of HKGs. It summarizes the pipeline and key techniques for HKG construction, as well as the common utilization approaches, i.e., model-free and model-based. The existing HKG resources are also organized based on the data types they capture and application domains they cover, along with relevant statistical information (Resource available at https://github.com/lujiaying/Awesome-HealthCare-KnowledgeBase). At the application level, we delve into the successful integration of HKGs across various health domains, ranging from fine-grained basic science research to high-level clinical decision support and public health. Lastly, the paper highlights the opportunities for HKGs in the era of LLMs. This work aims to serve as a valuable resource for understanding the potential and opportunities of HKG in health research.