Objective: To provide an up-to-date overview of the prevalence of depressive symptoms in high-performance athletes and describe the tools used to assess for these in order to identify knowledge gaps and potential future research priorities. Data sources: PubMed, EMBASE, SPORTDiscus, PsychINFO, and Cochrane were systematically searched from December 1993 to December 2018. Peer-reviewed original research articles reporting the prevalence of depression among high-performance athletes aged ≥ 17 years were included. Study selection: Sixteen studies satisfied the inclusion criteria, and seven had a low risk of bias. Data extraction: The Center for Epidemiologic Studies Depression Scale (CES-D) was the most commonly used tool to assess for depressive symptoms. The prevalence of those with high depression symptom cutoff scores ranged from 6.7% to 34.0%. Data synthesis: Higher levels of competition, injuries, > 3 concussions, and female sex were identified as potential risk factors for depression. Female athletes and athletes playing individual sports had high risk of having elevated depression symptom scores. Conclusions: Prevention of mental illness in high-performance sports is a novel and emerging field of research interest. This review highlights the prevalence of high depression symptom scores among high-performance athletes. The data collection methods, sample size, sport and athlete population, and tools used to assess depression vary across studies; thus, findings cannot be generalized. This review establishes the need for data collection enhancements with robust longitudinal study designs and standardized depression assessment tools to guide the development of evidence-based mental wellbeing interventions.