Diet quality is associated with depression risk, however the possible role of dairy products in depression risk is unclear. A number of epidemiological studies have examined associations between dairy consumption and depressive symptoms, but results have been inconsistent. Therefore, this systematic review aimed to examine whether an association exists between dairy consumption and depressive symptoms or disorders in adults. Anxiety symptoms were also explored as a secondary outcome. CINAHL, Cochrane, MEDLINE complete, EMBASE, Scopus and PsycINFO databases were searched from database inception to December 2018. Studies were included if they used a case-control, cross-sectional, or cohort study design, and included community dwelling or institutionalized adults (≥18 years). Seven prospective and six cross-sectional studies (N = 58,203 participants) reported on the association between dairy consumption and depressive symptoms or disorders. Findings were mixed, with one study reporting a positive association; five studies reporting no association; and seven studies reporting mixed associations depending on dairy type, gender or population group. We found conflicting and inconsistent associations in studies that were generally of fair quality. Future longitudinal and intervention studies that employ more rigorous dietary assessment methods are warranted.