Background: Adolescents who are socially excluded are at increased risk of mental health problems such as depression and anxiety. Promoting social inclusion could be an effective strategy for preventing and treating adolescent depression and anxiety. Methods: We conducted a systematic review of intervention studies which aimed to prevent or treat adolescent depression and/or anxiety by promoting social inclusion. Throughout the review we engaged a youth advisory group of 13 young people (aged 21–24) from Uganda, Turkey, Syria, South Africa, and Egypt. Results: We identified 12 studies relevant to our review. The interventions tested use a range of different strategies to increase social inclusion and reduce depression and anxiety, including social skills training, psychoeducation, teaching life skills training, and cash transfers. Pooled standardised mean differences (SMDs) based on random-effects models showed medium-to-large benefits of interventions on improving depression and anxiety symptoms (n = 8; SMD = −0.62; 95% CI, −1.23 to −0.01, p < 0.05). Conclusion: Although there are not many studies, those which have been done show promising results that strongly suggest that social inclusion could be an important component of programmes to promote adolescent mental health.