Background/Objectives: The milk fat globule membrane (MFGM) is a complex structure of polar lipids, gangliosides, and glycoproteins that has demonstrated anti-inflammatory, neuroprotective, and gut-modulatory effects in preclinical and human studies, but its effects on adult psychological outcomes have not been systematically synthesised. Methods: We conducted a systematic literature search across multiple databases using combined relevant keywords and Medical Subject Headings terms, with manual reference checks to ensure comprehensiveness. Of the 35 articles initially identified, 3 randomised controlled trials met the inclusion criteria: adult participants (≥20 years); bovine MFGM supplementation; a placebo or control group; and outcomes measuring stress, anxiety, or depression. A random-effects meta-analysis was performed, calculating standardised mean differences for stress, anxiety, and depression outcomes. Results: MFGM supplementation produced small but statistically significant reductions in stress and anxiety. Effects on depression were non-significant, though directionally favourable. Risk-of-bias assessments were conducted using Cochrane criteria and indicated low concerns across trials. Publication bias was not indicated, but interpretation was limited by the small number of studies. Conclusions: Whilst the evidence for depression is inconclusive, bovine MFGM supplementation may confer modest benefits for stress and anxiety in adults and could be part of a nutritional strategy to support overall mental well-being.