Lorentz symmetry is one of the pillars of both General Relativity and the Standard Model of particle physics. Motivated by ideas about quantum gravity, unification theories and violations of CPT symmetry, a significant effort has been put the last decades into testing Lorentz symmetry. This review focuses on Lorentz symmetry tests performed in the gravitational sector. We briefly review the basics of the pure gravitational sector of the Standard-Model Extension (SME) framework, a formalism developed in order to systematically parametrize hypothetical violations of the Lorentz invariance. Furthermore, we discuss the latest constraints obtained within this formalism including analyses of the following measurements: atomic gravimetry, Lunar Laser Ranging, Very Long Baseline Interferometry, planetary ephemerides, Gravity Probe B, binary pulsars, high energy cosmic rays,. .. In addition, we propose a combined analysis of all these results. We also discuss possible improvements on current analyses and present some sensitivity analyses for future observations.