Fatigue and depression are common, debilitating, and intertwined symptoms in people with relapsing-remitting multiple sclerosis (pwRRMS). To elucidate the relationship between depression/fatigue and brain connectivity in pwRRMS we conducted a systematic review. Searched databases were PubMed, Web-of-Science and Scopus. Inclusion criteria were: participants with RRMS; published between 2001-2021; fatigue and depression assessments validated for MS; brain structural, functional (fMRI) or diffusion MRI (dMRI). 16 dMRI (13 fatigue, 4 depression) and 18 fMRI (16 fatigue, 4 depression) studies were included. ~50% of studies reported no correlation between MRI measures and fatigue/depression. Positive findings showed that abnormal cortico-limbic structural and functional connectivity was associated with depression, and fatigue was linked to connectivity measures in cortico-thalamic-basal-ganglial networks. Additionally, both depression and fatigue were related to altered cingulum structural connectivity, and functional connectivity involving thalamus, cerebellum, frontal lobe, and pre-/postcentral gyri. These findings suggest neuropathological effects in these regions may underlie fatigue and depression in pwRRMS, but the overall results were inconclusive. Further studies using optimised imaging protocols and validated depression and fatigue measures are required to clarify the substrate underlying these symptoms in pwRRMS.