Embodied Artificial Intelligence (AI) is an intelligent system formed by agents and their environment through active perception, embodied cognition, and action interaction. Existing embodied AI remains confined to human-crafted setting, in which agents are trained on given memory and construct models for given tasks, enabling fixed embodiments to interact with relatively static environments. Such methods fail in in-the-wild setting characterized by variable embodiments and dynamic open environments. This paper introduces self-evolving embodied AI, a new paradigm in which agents operate based on their changing state and environment with memory self-updating, task self-switching, environment self-prediction, embodiment self-adaptation, and model self-evolution, aiming to achieve continually adaptive intelligence with autonomous evolution. Specifically, we present the definition, framework, components, and mechanisms of self-evolving embodied AI, systematically review state-of-the-art works for realized components, discuss practical applications, and point out future research directions. We believe that self-evolving embodied AI enables agents to autonomously learn and interact with environments in a human-like manner and provide a new perspective toward general artificial intelligence.