Objective Prevalence rates of depression and anxiety in patients with Multiple Sclerosis (MS) vary widely across studies. Aim of this systematic review and meta-analysis was to a) estimate the prevalence of depression and anxiety in MS, and specifically b) explore sources of heterogeneity (assessment method, prevalence period, study quality, recruitment resource, region) by extensive analyses. Methods A computerized search in PubMed, EMBASE, and PsycINFO for studies on depression and anxiety in MS was performed up to December 2014. Results Fifty-eight articles with a total sample size of 87,756 MS patients were selected. Pooled mean prevalence was 30.5% (95% CI = 26.3%–35.1%) for depression, and 22.1% (95% CI = 15.2%–31.0%) for anxiety. Prevalence of clinically significant depressive or anxiety symptoms was higher (35% and 34%) compared with disorders (21%; p = 0.001 and 10%; p < 0.001). Prevalence of a depressive disorder was relatively lower in studies from Europe. Anxiety disorder was more prevalent in community-based samples. Sources of high heterogeneity were not revealed. Conclusions Data of a large number of patients indicate increased prevalence of depression and anxiety in MS. Further research is needed to identify sources of heterogeneity. Issues to consider are the definition of depression and anxiety, patient recruitment, and patient characteristics.