Anxiety and depression are common in prostate cancer (PCa) patients and negatively impact the quality of life, treatment outcome, survival and overall well-being, thus, requiring interventions to meet the psychosocial needs of PCa patients across treatment stages. However, there is not enough information to guide the design of these interventions, as there are still areas of lack of clarity regarding the prevalence and predictors of anxiety and depression in PCa patients. Therefore, this review was conducted to examine the literature to identify the overall prevalence of anxiety and depression across treatment stages in PCa patients and to identify the predictors of anxiety and depression in this population. A literature search was conducted from the Cochrane library, Ovid Medline and APA PsycINFO databases. Eighteen eligible studies were included in the final review. The findings were analysed using a narrative synthesis. The study quality was assessed using the Joanna Briggs Institute critical appraisal checklist. The prevalence of anxiety and depression was found to be between 6% to 44.8% and 10% to 48%, respectively. Notably, the prevalence of depression was higher in the post-treatment phase than in the treatment phase. Finally, the result demonstrates that socio-economic/demographic, clinical and lifestyle factors determine patients’ predisposition to anxiety and depression. These demonstrate that the prevalence of anxiety and depression is high across the PCa disease trajectory and that some patients are more likely to experience anxiety and depression than others. Therefore, we recommend periodic assessment to identify at risk patients and those with clinically significant or worsening levels of anxiety and depression for timely interventions to mitigate the risks or ameliorate the symptoms of anxiety and depression.