Background The global spread of coronavirus has caused many physical and mental health problems throughout the world. Depression and anxiety are among the issues that people are experiencing abundantly, along with other mental health disorders, during this period. Cognitive behavior therapy (CBT) is one of the approaches that is effective on improving most of the psychological issues including depression and anxiety. The objective of this systematic review and meta-analysis was to assess the effects of CBT on depression and anxiety during COVID-19 pandemic period. Methods English databases such as Cochrane, PubMed, Google Scholar, Web of Science and Persian databases such as SID, MagIran and IranDoc were searched with a time limit of 2019 to 2022. Two researchers independently evaluated the quality of the entered studies based on Cochrane handbook. Subgroup analysis was conducted separately on the basis of being infected with coronavirus, not being infected with coronavirus, and having a history of depression or anxiety before the intervention and internet-based CBT for depression and anxiety. Meta-analysis results were reported using standardized mean difference (SMD) and 95% confidence interval (95% CI). Heterogeneity of studies was analyzed by means of I2 index; and in the case of heterogeneity presence, random effects model was used instead of fixed effects model. Grading of Recommendations Assessment, Development and Evaluation (GRADE) was used for evaluating the quality of evidence. Results Totally, 2015 articles were analyzed of which 11 articles entered meta-analysis. The overall results of meta-analysis showed that mean score of anxiety in the group receiving CBT was significantly lower than the control group (SMD: − 0.95, 95% CI − 1.29 to − 0.62; P < 0.00001, I2 = 94%). In addition, mean score of depression in the intervention group was significantly lower than the control group (SMD: − 0.58; 95% CI − 1.00 to − 0.16, P < 0.00001, I2 = 94%). In addition, the results of subgroup meta-analysis showed that internet-based CBT was effective in reducing of depression (SMD − 0.35; 95% CI − 0.50 to − 0.20; P < 0.00001; I2 = 0%) and anxiety (SMD − 0.90; 95%CI − 1.47 to − 0.33; P = 0.002; I2 = 94%). The evidence about the effectiveness of CBT on depression and anxiety compared with control group on the basis of GRADE approach had low quality. Conclusions Meta-analysis results showed that CBT reduced the mean scores of anxiety and depression significantly during COVID-19 pandemic period. Due to the low quality of evidence, conducting more randomized controlled trials with rigorous design is suggested. Prospero registration This systematic review has been registered in Prospero (ID: CRD42021277213).