The paper presents the current state of the art of research identifying the neurophysiological and neuroanatomical substrates of private speech, both in typical and clinical (or atypical) populations. First, it briefly describes the evolution of private speech research, which goes from classic traditions as the naturalistic and referential paradigms to the neurocognitive approach. An overview of the neurophysiological (e.g., event-related potentials or ERPs) and neuroimaging techniques (e.g., functional magnetic resonance imaging or fMRI) is also presented. The next three sections review empirical works about the neurocognitive basis of private speech, across three groups of techniques: ERPs; fMRI/MRI; and other neuroimaging techniques (positron emission tomography [PET], magnetoencephalogram [MEG], and repetitive transcranial magnetic stimulation [rTMS]). Such neurocognitive research analyzes the neural activity of individuals during a variety of task settings, including spontaneous and instructed overt and inner private speech use, subvocal verbalizations, and silent and overt reading. The fifth section focuses on electrophysiological and neuroimaging studies of private speech in atypical populations, for example: schizophrenia, pure alexia, hearing impairment, blindness, social phobia, alexithymia, Parkinson, and multiple sclerosis. The neurocognitive study of the various forms of private speech appears to be very promising in the understanding of these pathologies. Lastly, the advances and new challenges in the field are discussed.