(1) Background: The incidence of psychological distress and its impact on renal cell carcinoma (RCC) patients is unclear. Our aim was to analyze the literature regarding the prevalence of psychological distress and its impact on patients with non-metastatic or metastatic RCC; (2) Methods: A systematic search of five databases was performed. Studies were considered eligible if they included patients with RCC, had a prospective or retrospective design, and assessed anxiety, depression, or psychological distress at any time during treatment or follow-up. Exclusion criteria: no treatment for RCC, or not providing data for RCC patients; (3) Results: A total of 15 studies were included. Reported psychological distress was up to 77% and the prevalence of depressive and anxiety symptoms were up to 77.6% and 68.3% in patients with non-metastatic RCC. There was no association of depression with overall survival (OS) in patients with non-metastatic RCC treated by radical nephrectomy; on the contrary, in patients with metastatic disease, depression had an impact on OS. Limitations are related to the quality of the included studies; (4) Conclusions: Patients with RCC reported a high level of psychological distress like other cancer patients. It seems that for patients with localized disease, psychological distress does not impact OS, while it does in those with metastatic disease.