There is a high prevalence of anxiety and depression in offender populations but with no recent systematic review of interventions to identify what is effective. This systematic review was undertaken to identify randomised controlled trials of pharmacological and non-pharmacological interventions in adult offenders in prison or community settings. A search of five databases identified 14 studies meeting inclusion criteria, which considered the impact of psychological interventions, pharmacological agents, or exercise on levels of depression and anxiety. A narrative synthesis was undertaken and Hedges g effect sizes calculated to allow comparison between studies. Effect sizes for depression interventions ranged from 0.17 to 1.41, for anxiety 0.61 to 0.71 and for posttraumatic stress disorder 0 to 1.41. Cognitive behavioural therapy interventions for the reduction of depression and anxiety in adult offenders appear effective in the short term, though a large-scale trial of sufficient duration is needed to confirm this finding.