Background: Recently, it has been discovered that anti-inflammatory and anti-oxidative pathways play a role in depression and anxiety. Lower serum levels of antioxidants, such as vitamin E, have been implicated in both depression and anxiety. Methods: This PROSPERO-registered systematic review (Reference: CRD42021260058) is reported according to PRISMA guidelines. PubMed, EMBASE, CENTRAL, PsycINFO, and CINAHL were searched from inception to June 2021. Results: Twelve studies were included in this systematic review, and nine in meta-analysis of vitamin E versus placebo. For depression, meta-analysis of 354 participants showed a standardised mean difference of –0.88 (95% CI: –1.54, –0.21; I2 = 87%) favouring vitamin E. For anxiety, meta-analysis of 306 participants showed a standardised mean difference of –0.86 (95% CI: –2.11, 0.40; I2 = 95%) favouring vitamin E. Three of the studies involved a pure comparison of vitamin E against placebo, while others included constituents such as omega-3 fatty acids. Nine of the studies were at low risk of bias, two had some concerns, and one was at high risk of bias. Conclusion: Vitamin E supplementation has shown inconclusive results in ameliorating both depression and anxiety. Containing a reassuring safety profile and low cost, future studies would be of promise, and they would benefit from both larger sample sizes and from excluding other constituents, such as omega-3 fatty acids, from experimental and comparator arms.