Nowadays, the adoption of Industry 4.0 (I4.0) ideas and technologies promises to enable the industrial sector to make efficient and just-on-time production a reality through digitalization and the use of intelligent machines. This change is driven by technological advances, including artificial intelligence (AI), machine learning, and the availability of large amounts of data that can be processed by these technologies. Industrial sectors may follow different adoption strategies due to the different experiences, maturity levels of the industry and AI practices. In this article, a literature review on the adoption of AI technologies in the context of I4.0 is carried out, considering the levels of I4.0 maturity achieved and agile software development practices and a proposal for an Agile Industrial Artificial Intelligence strategy is made, in which a comprehensive approach is proposed including the existing level of maturity in the I4.0 context and agile practices.