Enforcement of Data Protection Laws ensures financial decisions are taken more fairly and requires institutions to be transparent about their clients' data processing. The objective of this paper is to identify studies that bring evidence of how consumers' personal data has been used in the process of granting credit using Artificial Intelligence (AI) as decision support. Also, whether there is compliance with Data Protection Laws during this process. A Systematic Literature Review was conducted to achieve the objective proposed by this paper. Based on the inclusion and exclusion criteria established, eight studies were relevant. As evidence from selected studies, there is little, or no attention on the demographic aspects of credit applicants, which means the samples used to training AI algorithms may not be well balanced. As a conclusion, we identify the poor compliance with data protection laws may lead to unfavorable outcomes for population minorities.