The building sector contributes to 40% of the total final energy consumption and 36% of CO2 emissions in Europe, and these are set to increase in the coming years. International directives are pushing towards a decarbonisation roadmap to improve the quality of cities and the health of citizens. Buildings have a potentially central role in terms of energy transition as a means to produce and save energy. Photovoltaic shading devices (PVSDs) protect buildings from direct solar radiation and overheating while producing renewable electricity onsite and increasing the users’ thermal comfort. Even though the potential of the PVSD is considerable, the sector is still unexplored, and few studies on the topic are available in the literature. This systematic review aims to present an exhaustive overview of the current literature on state-of-the-art PVSDs by analysing the scientific framework in terms of the status of the research. It presents a performance-based approach focusing on innovative products, PVSD design strategies, and energetic performance in distinct climate conditions and configurations. In particular, 75 articles and about 250 keywords were identified, selected, and analysed. The literature review serves as a basis for further R&D activities led by both the industrial and the academic sectors.