Individuals with autism spectrum disorder (ASD) struggle accessing psychotherapy services for comorbidities, including anxiety-, depressive- and obsessive-compulsive disorders (OCD). Apart from cognitive behavioural therapy (CBT) for anxiety in children with ASD, it is unclear whether psychotherapy is effective for these comorbid disorders. We therefore systematically reviewed any form of psychotherapy for co-occurring symptoms of anxiety, depression and OCD in individuals with ASD. Database searches were conducted until February 2022 using EMBASE, PsycINFO and PubMed. Randomised controlled trials (RCT) were included investigating any form of psychotherapy for symptoms of anxiety, depression and OCD in individuals with ASD. Summary data were extracted, and random-effects meta-analyses were conducted. For CBT 26 RCTs (n = 1251), and for social skills training (SST) 11 RCTs (n = 475) met criteria for inclusion. Pooled effect sizes indicated a moderate reduction of anxiety in children (g = −0.70) and a small reduction of depressive symptoms in adults (g = −0.39). For SST overall effect sizes were small for reduction of anxiety in children (g = −0.35) and adults (g = −0.34) and moderate for reduction of depressive symptoms in children (g = −0.50). Risk of bias was high in 18, moderate in 16 and low in 3 RCTs. Our results provide new and age-specific evidence that: (1) CBT is effective for reducing anxiety in children and to a lesser extent for depressive symptoms in adults with ASD; and (2) social skills interventions are effective for reducing anxiety in children and adults and for depressive symptoms in children with ASD.