Background: Allergic diseases appear to be associated with mood disorders. However, particularly regarding allergic rhinitis (AR), such association has not been adequately systematically reviewed. Therefore, we conducted a systematic review and meta-analysis to quantify the association between AR and depression and anxiety. Methodology: We performed an electronic search of PubMed, Web of Science and Scopus for observational studies assessing the association between AR and depression and anxiety. Such association was quantified by means of random-effects meta-analysis, with estimation of pooled odds ratio (OR). Sources of heterogeneity were explored by subgroup analysis. Results: We included a total of 24 primary studies, of which 23 assessed depression and 11 assessed anxiety. Of these, 12 studies presented OR from multivariable regression models and were included in our meta-analysis. AR was associated with higher odds of depression and anxiety. Conclusions: AR appears to be associated with high risk of depression and anxiety. While our results point to the importance of mental comorbidities among patients with AR, longitudinal studies are needed adopting uniform definitions and presenting results stratified by AR severity.