Previous studies reported inconsistent findings regarding the consumption of a vegetarian diet with mental health outcomes, specifically depression, anxiety and stress. A systematic review was conducted to summarize the current state of literature regarding our understanding of the association between a vegetarian diet and depression, anxiety and stress. A literature search was completed using Scopus, PubMed, and the Web of Science for relevant articles published prior to July 2020. Prospective cohort and cross-sectional studies conducted on adults reporting risk estimates for the consumption of a vegetarian diet, depression, anxiety, and stress were selected. A fixed effects or a random effects model was performed to pool effect sizes. Results from 13 publications (four cohort studies and nine cross-sectional studies) assessing the relationship between the consumption of a vegetarian diet and depression, anxiety and stress were included. The pooled effect size from 10 studies indicated no association between the consumption of a vegetarian diet and depression (pooled effect size: 1.02, 95% CI: 0.84-1.25, p = 0.817). Further, the pooled effect size from four studies suggests that a vegetarian diet is not associated with anxiety (pooled effect size: 1.09, 95% CI: 0.71-1.68, p = 0.678). Due to insufficient data for stress, we were not able to pool the results. Together, no significant associations were observed between the consumption of a vegetarian diet and depression or anxiety. Future cohort studies are needed to further investigate the effects of a vegetarian diet on these mental health outcomes.