Background: Mental disorders that are comorbid with chronic infectious diseases may worsen clinical outcomes and patients’ quality of life. We hypothesized that depression and/or anxiety syndromes or symptoms comorbid with human immunodeficiency virus (HIV) or hepatitis B virus (HBV) infection might stem from shared biological mechanisms. Methods: We conducted a systematic review applying the PRISMA statement by searching into the PubMed, APA PsycInfo, and Scopus databases. We examined the literature on HIV/HBV infection comorbid with depression and/or anxiety in adults ≥18 years. Results: Thirty-one studies on HIV and three on HBV were analyzed. The Tat protein contributed to HIV-associated mood disorders due to the protein’s ability to cause neurodegeneration and induce hypothalamic–pituitary–adrenal (HPA) axis dysregulation in response to natural stressors. The decreased brain-derived neurotrophic factor (BDNF) levels also emerged as a mechanism involved in HIV neuropathogenesis and the associated mood symptoms. Neuroinflammation was implicated in depression and/or anxiety onset in patients with HIV/HBV infections. Microglial activation and release of cytokines, in particular, appeared as potential pathogenetic mechanisms. Furthermore, an altered balance between quinolinic acid and kynurenic acid production emerged in HIV patients with comorbid depression, indicating a glutamatergic dysfunction. Inflammatory cytokine production and the downregulation of cellular immune responses contributed to persisting inflammation, delayed healing, and functional decline in patients with chronic hepatitis B (CHB) infection. A shift in type 1–type 2 cytokine balance might be implicated in HBV-related immune pathogenesis, and depression and anxiety might be considered immunomodulatory factors. Cytokines also caused HPA axis hyperactivity, frequently observed in HIV/HBV patients with comorbid depression/anxiety. Conclusions: The present systematic review showed, for the first time, that HIV/HBV and depression and/or anxiety might have several biological mechanisms as common denominators. The longitudinal course of the highlighted biological mechanisms should be explored to establish the causative interrelationship among the involved mechanisms. In addition, future research should investigate the possibility that a patient’s clinical outcome might improve using pharmacological treatments acting on the biological mechanisms we described as common denominators of chronic inflammatory infective diseases and depression/anxiety.