Objective: The purpose of this systematic review and meta-analysis was to examine the effects of exercise on depression and anxiety in people living with HIV (PLWH), and to evaluate, through subgroup analysis, the effects of exercise type, frequency, supervision by exercise professionals, study quality, and control group conditions on these outcomes. Method: A literature search was conducted through four electronic databases from inception to February 2019. Considered for inclusion were randomized controlled trials (RCTs) investigating exercise interventions and depression or anxiety as outcomes in people living with HIV (≥ 18 years of age). Ten studies were included (n = 479 participants, 49.67% females at baseline), and the standardized mean difference (SMD) and heterogeneity were calculated using random-effect models. An additional pre-post meta-analysis was also conducted. Results: A large effect in favor of exercise when compared to controls was found for depression (SMD = −0.84, 95%CI = [−1.57, −0.11], p = 0.02) and anxiety (SMD = −1.23, 95%CI = [−2.42, −0.04], p = 0.04). Subgroup analyses for depression revealed large effects on depression for aerobic exercise only (SMD = −0.96, 95%CI = [−1.63, −0.30], p = 0.004), a frequency of ≥3 exercise sessions per week (SMD = −1.39, 95%CI = [−2.24, −0.54], p < 0.001), professionally supervised exercise (SMD = −1.40, 95%CI = [−2.46, −0.17], p = 0.03]), and high-quality studies (SMD = −1.31, 95%CI = [−2.46, −0.17], p = 0.02). Conclusion: Exercise seems to decrease depressive symptoms and anxiety in PLWH, but other larger and high-quality studies are needed to verify these effects.