Recent advancements in vehicle-to-everything (V2X) communication have notably improved existing transport systems by enabling increased connectivity and driving autonomy levels. The remarkable benefits of V2X connectivity come inadvertently with challenges which involve security vulnerabilities and breaches. Addressing security concerns is essential for seamless and safe operation of mission-critical V2X use cases. This paper surveys current literature on V2X security and provides a systematic and comprehensive review of the most relevant security enhancements to date. An in-depth classification of V2X attacks is first performed according to key security and privacy requirements. Our methodology resumes with a taxonomy of security mechanisms based on their proactive/reactive defensive approach, which helps identify strengths and limitations of state-of-the-art countermeasures for V2X attacks. In addition, this paper delves into the potential of emerging security approaches leveraging artificial intelligence tools to meet security objectives. Promising data-driven solutions tailored to tackle security, privacy and trust issues are thoroughly discussed along with new threat vectors introduced inevitably by these enablers. The lessons learned from the detailed review of existing works are also compiled and highlighted. We conclude this survey with a structured synthesis of open challenges and future research directions to foster contributions in this prominent field.