Cyber-physical systems (CPS) play an important role in the implementation of new Industry 4.0 solutions, acting as the backbone infrastructure to host distributed intelligence capabilities and promote the collective intelligence that emerges from the interactions among individuals. This collective intelligence concept provides an alternative way to design complex systems with several benefits, such as modularity, flexibility, robustness, and reconfigurability to condition changes, but it also presents several challenges to be managed (e.g., non-linearity, self-organization, and myopia). With this in mind, this paper discusses the factors that characterize collective intelligence, particularly that associated with industrial CPS, analyzing the enabling concepts, technologies, and application sectors, and providing an illustrative example of its application in an automotive assembly line. The main contribution of the paper focuses on a comprehensive review and analysis of the main aspects, challenges, and research opportunities to be considered for implementing collective intelligence in industrial CPS. The identified challenges are clustered according to five different categories, namely decentralization, emergency, intelligent machines and products, infrastructures and methods, and human integration and ethics. Although the research indicates some potential benefits of using collective intelligence to achieve the desired levels of autonomy and dynamic adaptation of industrial CPS, such approaches are still in the early stages, with perspectives to increase in the coming years. Based on that, they need to be further developed considering some main aspects, for example, related to balancing the distribution of intelligence by the vertical and horizontal dimensions and controlling the nervousness in self-organized systems.