Cancer of Unknown Primary (CUP) is metastatic cancer with an unidentifiable primary tumour origin during life. It remains difficult to study the occurrence and aetiology of CUP. Hitherto, it is unclear whether risk factors are associated with CUP, yet identifying these factors could reveal whether CUP is a specific entity or a cluster of metastasised cancers from various primary tumour origins. Epidemiological studies on possible CUP risk factors were systematically searched in PubMed and Web of Science on February 1st, 2022. Studies, published before 2022, were included if they were observational human-based, provided relative risk estimates, and investigated possible CUP risk factors. A total of 5 case–control and 14 cohort studies were included. There appears to be an increased risk for smoking in relation to CUP. However, limited suggestive evidence was found to link alcohol consumption, diabetes mellitus, and family history of cancer as increased risks for CUP. No conclusive associations could be made for anthropometry, food intake (animal or plant-based), immunity disorders, lifestyle (overall), physical activity, or socioeconomic status and CUP risk. No other CUP risk factors have been studied. This review highlights smoking, alcohol consumption, diabetes mellitus and family history of cancer as CUP risk factors. Yet, there remains insufficient epidemiological evidence to conclude that CUP has its own specific risk factor profile.