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Deep learning (DL) has proven its unprecedented success in diverse fields such as computer vision, natural language processing, and speech recognition by its strong representation ability and ease of computation. As we move forward to a thoroughly intelligent society with 6G wireless networks, new applications and use-cases have been emerging with stringent requirements for next-generation wireless communications. Therefore, recent studies have focused on the potential of DL approaches in satisfying these rigorous needs and overcoming the deficiencies of existing model-based techniques. The main objective of this article is to unveil the state-of-the-art advancements in the field of DL-based physical layer (PHY) methods to pave the way for fascinating applications of 6G. In particular, we have focused our attention on four promising PHY concepts foreseen to dominate next-generation communications, namely massive multiple-input multiple-output (MIMO) systems, sophisticated multi-carrier (MC) waveform designs, reconfigurable intelligent surface (RIS)-empowered communications, and PHY security. We examine up-to-date developments in DL-based techniques, provide comparisons with state-of-the-art methods, and introduce a comprehensive guide for future directions. We also present an overview of the underlying concepts of DL, along with the theoretical background of well-known DL techniques. Furthermore, this article provides programming examples for a number of DL techniques and the implementation of a DL-based MIMO by sharing user-friendly code snippets, which might be useful for interested readers.