Due to the increasing complexity and interrelation of modern supply chains, the probability of occurrence and expected impact of a risk has become difficult or even impossible to predict, leading researchers to seek to minimize the impact generated by uncertainty in supply chain risk management, which due to its complexity does not yet present an absolute solution and is open to new contributions. This article proposes to review the literature with the objective of evaluating the application of the neutrosophical theory in the treatment of uncertainty focused on supply chain risk management, using a conceptualization of risk, uncertainty, supply chain and the neutrosophical theory, and seeking to establish a relationship between them by illustrating how the uncertainty of the real world means that the risks to which a supply chain is exposed cannot be quantified by means of conventional mathematics, but in the domain of neutrosophy. There are also some articles with successful applications in decision-making under some degree of uncertainty to finally reach one in which these concepts converge, reaching the conclusion that through this new theory it is possible to quantify the risks based on the qualitative opinion of experts to be included in quantitative models of optimization in supply chain risk management.