PEComas is a family of rare mesenchymal tumors. This systematic review aims to better understand the natural history of advanced PEComas. After a search on the PubMed database and main oncology meeting libraries according to the PRISMA guidelines, 88 articles reported in the English literature were included. Data on clinical and histological features, treatments and outcomes were collected. To identify risk factors, univariate and multivariate analyses were performed. Seven cohorts of patients and 124 individual patients were identified. Focusing on case reports, most patients were metastatic, and the median overall survival (OS) of the entire cohort was 60 months (95%CI 33; NA). Risk factors significantly associated with OS in the multivariate analysis were the presence of metastasis at diagnosis (HR: 2.59, 95%CI 1.06;6.33, p = 0.036) and the grouped-Bleeker’s risk category (HR: 4.66; 95%CI 1.07;20.19; p = 0.039). In the metastatic population, only the presence of lymph node metastasis was associated with OS (HR: 3.11; 95%CI 1.13;8.60, p < 0.05). Due to a lack of events, it was not possible to conclude on other factors. This review of the literature highlights the heterogeneity of literature data and shows the great diversity of clinical management strategies.