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The exponential growth of internet connected systems has generated numerous challenges, such as spectrum shortage issues, which require efficient spectrum sharing (SS) solutions. Complicated and dynamic SS systems can be exposed to different potential security and privacy issues, requiring protection mechanisms to be adaptive, reliable, and scalable. Machine learning (ML) based methods have frequently been proposed to address those issues. In this article, we provide a comprehensive survey of the recent development of ML based SS methods, the most critical security issues, and corresponding defense mechanisms. In particular, we elaborate the state-of-the-art methodologies for improving the performance of SS communication systems for various vital aspects, including ML based cognitive radio networks (CRNs), ML based database assisted SS networks, ML based LTE-U networks, ML based ambient backscatter networks, and other ML based SS solutions. We also present security issues from the physical layer and corresponding defending strategies based on ML algorithms, including Primary User Emulation (PUE) attacks, Spectrum Sensing Data Falsification (SSDF) attacks, jamming attacks, eavesdropping attacks, and privacy issues. Finally, extensive discussions on open challenges for ML based SS are also given. This comprehensive review is intended to provide the foundation for and facilitate future studies on exploring the potential of emerging ML for coping with increasingly complex SS and their security problems.