Objectives Parkinson's disease (PD) is a neurodegenerative disorder, affecting the motor system with psychological difficulties also frequently reported. While explanations for psychological difficulties are historically situated within a biomedical framework, more recently the relevance of psychological determinants has become a research focus. This review therefore examines this relationship with the two most commonly reported psychological difficulties (anxiety and depression) in people with PD. Method Databases were systematically searched up to December 17, 2013, identifying 24 studies meeting inclusion criteria. Results Significant predictors of heightened anxiety and depression included increased emotion‐focused coping; less problem‐focused coping; lower perceived control; more dominant beliefs about PD as part of a person's identity and influence on life; less social support and more avoidant personality types. Conclusions Relationships between some specific psychological predictors and depression and anxiety seem well supported. The complexity of relationships between these psychological determinants should be taken into consideration when delivering psychological interventions.