Musculoskeletal (MSK) injuries have a significant physical and psychological influence on an athlete’s life. A systematic review of prospective cohort, cross-sectional, and case-control studies was undertaken in this study to analyze the association between MSK injuries with depressive symptoms in athletes. We searched on PubMed, Web of Science, and Scopus, with data inception to 15 February 2023. The methodological quality was assessed using the Newcastle-Ottawa Scale (NOS). Of the 3677 potential studies only nine were included. These studies showed a bidirectional association between MSK injuries and depressive symptoms. Athletes with MSK injuries had higher levels of depressive symptoms, which raises the likelihood of experiencing depression in the future. Women athletes had higher levels of depressive symptoms compared with men. The presence of depressive symptoms is a significant predictor of disability in athletes. Our findings suggest that coaches should be more aware of depressive symptoms, in order to prevent MSK injuries, and to monitor athletes following an MSK injury.