Premenstrual syndrome (PMS) is a cyclically occurring combination of various symptoms, leading to decreased life quality among approximately 30% of women of childbearing age. PMS etiology remains unknown; however, there are some suggestions that inappropriate inflammatory response and oxidative stress are involved. This study aimed to systematically review case–control and cross-sectional studies investigating inflammation markers, oxidative stress, and antioxidant status among women with PMS and controls. The study protocol was registered with PROSPERO (no. CRD42020178545), and the authors followed the guidelines for performing a systemic review recommended by Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA). By searching PubMed and Scopus databases (up to 8 January 2021), six case–control studies and five cross-sectional studies of medium or high quality were classified to the review. The systematic review included 652 women with PMS and 678 controls, for whom 36 eligible markers were determined. Limited evidence indicates increased levels of inflammatory parameters and suggests decreased antioxidant status in PMS women. Insufficient data with inconsistent results made it impossible to formulate a firm conclusion on the contribution of oxidative stress in PMS occurrence. To acknowledge the role of inflammation, oxidative stress, and antioxidant status in the pathophysiology of PMS, further research with case–control design and large study groups is needed.