Background: Immunocompromised patients, including those with hematological malignancies, are at a high risk of developing severe coronavirus disease 2019 (COVID-19) complications. Currently, there is a limited number of systematic reviews into the efficacy of convalescent plasma therapy (CPT) use in the treatment of COVID-19 patients with hematological malignancies. Therefore, the aim of this review was to systematically appraise the current evidence for the clinical benefits of this therapy in COVID-19 patients with hematological malignancies. Methods: A comprehensive search was conducted up to April 2022, using four databases: PubMed, Web of Science, Science Direct, and Scopus. Two reviewers independently assessed the quality of the included studies. Data collection analysis was performed using Microsoft Excel 365 and GraphPad Prism software. Results: 18 studies met the inclusion criteria; these records included 258 COVID-19 patients who had hematological malignancies and were treated with CPT. The main findings from the reviewed data suggest that CPT may be associated with improved clinical outcomes, including (a) higher survival rate, (b) improved SARS-CoV-2 clearance and presence of detectable anti-SARS-CoV-2 antibodies post CP transfusion, and (c) improved hospital discharge time and recovery after 1 month of CPT. Furthermore, treatment with convalescent plasma was not associated with the development of adverse events. Conclusions: CPT appears to be an effective supportive therapeutic option for hematological malignancy patients infected with COVID-19. To our knowledge, this is one of the first systematic reviews of the clinical benefits of CPT in COVID-19 patients with hematological malignancies.