The negative symptoms of psychosis and depressive symptomatology share several features, e.g. low motivation, apathy and reduced activity. Understanding the associations between these two sets of symptoms will support improved assessment and the development of interventions targeting these difficulties in people with psychosis. This is the first large systematic review and meta-analysis to quantify the relationship between these two categories of symptoms, as measured in studies to date. PsycInfo, Embase and Medline were systematically searched to identify eligible studies. Inclusion criteria ensured the studies measured both depression and negative symptoms using validated measures in a sample of over 8000 participants with non-affective psychosis diagnoses. The search led to 2020 records being screened and 56 included in the meta-analysis and review. Both meta-analyses and meta-regressions were conducted to explore the main effect and potential moderating variables. A clear pattern emerges showing that higher ratings of negative symptoms are associated with higher levels of depressive symptoms, with a small effect [standardised effect size = 0.19, p < 0.05). This did not vary greatly with the measures used (SES = 0.19–0.26) and was not moderated by demographic variables or quality ratings. Interestingly, higher depressive symptoms predict a significant relationship with co-occurring negative symptoms. However, higher negative symptoms predict that it is less likely there will be a relationship with co-occurring depressive symptoms. Heterogeneity was high across these analyses. The findings support the adoption of a symptom-specific approach to understanding the interplay between negative and depressive symptoms in psychosis, to improve assessment and intervention.