The omega-3 polyunsaturated fatty acids (PUFAs) eicosapentaenoic- (EPA), docosahexaenoic- (DHA) and docosapentaenoic acid (DPAn-3) are promising therapeutic options in reducing the severity of anxious and depressive symptoms. However, meta-analyses of randomised controlled trials (RCTs) yield mixed findings. This systematic review and meta-analysis reviewed the evidence and assessed the efficacy of EPA, DHA and DPAn-3 in reducing the severity of anxiety and depression with specific consideration to methodological complications unique to the field e.g., dose and ratio of omega-3 PUFAs and placebo composition. Random-effects meta-analysis of ten RCTs comprising 1426 participants revealed statistically significant reduction in depression severity with EPA-enriched interventions at proportions ≥ 60% of total EPA + DHA (SMD: -0.36; 95% CI: -0.68, -0.05; p = 0.02) (I² = 86%) and EPA doses between ≥ 1 g/day and < 2 g/day (SMD: -0.43; 95% CI: -0.79, -0.07; p = 0.02) (I² = 88%); however, EPA doses ≥ 2 g/day were not associated with significant therapeutic effects (SMD: -0.20; 95% CI: -0.48, 0.07; p = 0.14). Only one study reported significant reduction in anxiety severity with 2.1 g/day EPA (85.6% of total EPA + DHA), therefore meta-analysis was not possible. No trials administering DPAn-3 were identified. Visual examination of the funnel plot revealed asymmetry, suggesting publication bias and heterogeneity amongst the trials. These results support the therapeutic potential of EPA in depression at proportions ≥ 60% of total EPA + DHA and doses ≥ 1 g/day and < 2 g/day. The observed publication bias and heterogeneity amongst the trials reflect the need for more high-quality trials in this area with consideration to the unique nature of omega-3 PUFAs research, to more fully elucidate the therapeutic potential of EPA, DHA and DPAn-3.