Anopheles mosquitoes are the vectors of Plasmodium, the etiological agent of malaria. In addition, Anopheles funestus and Anopheles gambiae are the main vectors of the O’nyong-nyong virus. However, research on the viruses carried by Anopheles is scarce; thus, the possible transmission of viruses by Anopheles is still unexplored. This systematic review was carried out to identify studies that report viruses in natural populations of Anopheles or virus infection and transmission in laboratory-reared mosquitoes. The databases reviewed were EBSCO-Host, Google Scholar, Science Direct, Scopus and PubMed. After the identification and screening of candidate articles, a total of 203 original studies were included that reported on a variety of viruses detected in Anopheles natural populations. In total, 161 viruses in 54 species from 41 countries worldwide were registered. In laboratory studies, 28 viruses in 15 Anopheles species were evaluated for mosquito viral transmission capacity or viral infection. The viruses reported in Anopheles encompassed 25 viral families and included arboviruses, probable arboviruses and Insect-Specific Viruses (ISVs). Insights after performing this review include the need for (1) a better understanding of Anopheles-viral interactions, (2) characterizing the Anopheles virome—considering the public health importance of the viruses potentially transmitted by Anopheles and the significance of finding viruses with biological control activity—and (3) performing virological surveillance in natural populations of Anopheles, especially in the current context of environmental modifications that may potentiate the expansion of the Anopheles species distribution.