Several studies indicate that the pandemic and associated confinement measures may have had an impact on mental health, producing the onset or persistence of symptoms such as stress, anxiety, depression, and fear. This systematic review aims to identify the factors influencing the onset or worsening of depressive symptoms during COVID-19-related confinement. Our systematic search produced 451 articles from selected databases, 398 of which were excluded based on established criteria, while 53 were selected for review. Most studies have reported an increase in the prevalence of depressive symptoms in the general population during the first weeks of confinement. The predominant risk factors associated with the appearance of depressive symptoms included female sex, low educational level, young age, economic difficulties, comorbidities, and a history of previous depressive episodes. People with a pre-existing diagnosis of depressive disorder generally experienced a worsening of their symptoms during confinement in most of the reviewed studies. Moreover, symptomatology persisted at higher levels post-confinement, without significant improvement despite relief in confinement measures. Therefore, ongoing evaluations of post-pandemic depressive symptoms are necessary to advance the knowledge of the relationship between pandemics and depression, allowing accurate conclusions and associations to be made.