The opioid epidemic is a public health problem associated with a host of negative outcomes. Although clinicians recognize covariation between opioid misuse with anxiety and depressive symptoms and disorders, research on this topic has only recently accumulated. Progress in this domain is impeded by the lack of systematic and integrative research to better understand and treat these co-occurring problems. This paper represents the first attempt to systematically review the empirical literature examining relations between opioid use and misuse, and anxiety and depression. In the first section, we define key terms and describe the article selection strategy. In the second section, we review the prevalence of anxiety and depressive symptoms among individuals who use and misuse prescription and illicit opioids. In the third section, we review the magnitude of associations between anxiety and depressive symptoms and disorders with opioid misuse, as well as highlight studies examining the longitudinal and temporal sequence of the relations between these variables. In the fourth section, we focus on experimental therapeutics, reviewing what is known about individual difference and transdiagnostic vulnerability factors for anxiety and depression that might contribute to opioid misuse and its symptoms. Finally, we discuss current knowledge gaps and present a heuristic model to guide future research.