Reliable tools to extract patterns from high-dimensionality spaces are becoming more necessary as astronomical data sets increase both in volume and complexity. Contrastive Learning is a self-supervised machine learning algorithm that extracts informative measurements from multidimensional data sets, which has become increasingly popular in the computer vision and Machine Learning communities in recent years. To do so, it maximizes the agreement between the information extracted from augmented versions of the same input data, making the final representation invariant to the applied transformations. Contrastive Learning is particularly useful in astronomy for removing known instrumental effects and for performing supervised classifications and regressions with a limited amount of available labels, showing a promising avenue towards Foundation Models. This short review paper briefly summarizes the main concepts behind contrastive learning and reviews the first promising applications to astronomy. We include some practical recommendations on which applications are particularly attractive for contrastive learning.