Therapeutic plasma exchange (TPE) removes coagulation proteins, but its impact on therapeutic anticoagulation is unknown. We performed a systematic review of the literature to determine the coagulation effects of TPE in patients receiving systemic anticoagulation. We searched MEDLINE, CINAHL, EMBASE, and Web of Science until June 2018 for studies combining controlled vocabulary and keywords related to therapeutic plasma exchange, plasmapheresis, anticoagulants, and therapy. The primary outcome was the effect of TPE on anti‐Xa activity, activated partial thromboplastin time (aPTT), or international normalized ratio (INR). The secondary outcome was reports of post‐TPE bleeding or thrombosis. A total of 1830 references were screened and eight studies identified. Our selected studies (five case reports and three case series) involved 23 patients and evaluated the effects of seven anticoagulants. Six studies of unfractionated heparin, low‐molecular‐weight heparins, and direct oral anticoagulants demonstrated an anti‐Xa level decline. Two studies of unfractionated heparin and low‐molecular‐weight heparins showed an aPTT increase. One study of warfarin showed a post‐TPE INR increase. Reports of post‐TPE bleeding occurred in two patients and thrombosis in one. In patients receiving therapeutic anticoagulation, TPE is associated with anti‐Xa activity decline and aPTT and INR increase. These coagulation changes do not appear to significantly increase bleeding or thrombotic risk. Our data suggest the need for prospective studies to investigate the true clinical impact of TPE on therapeutic anticoagulation.