JAK inhibitors (JAKi) are new targeted-synthetic drugs, approved for various immune-mediated inflammatory diseases (IMIDs), including inflammatory arthritides (rheumatoid arthritis—RA, psoriatic arthritis—PsA, ankylosing spondylitis—AS) and ulcerative colitis (UC). JAKi have been associated with increased risk for herpes zoster (HZ), but the relative risk among different JAKi in these IMIDs remains unclear. We aimed to systematically review the incidence of HZ among RA, PsA, AS and UC patients treated with the approved doses of tofacitinib (TOFA), baricitinib (BARI) or upadacitinib (UPA). PubMed, Embase, Scopus, Cochrane and Web-of-Science were searched up to 30 March 2022. Clinical trials and real-world studies (RWS) were included. Outcomes assessed were the incidence rate (/100 patient-years) or/and cumulative incidence of HZ. From 1710 records, 53 clinical trials and 25 RWS were included (RA: 54, PsA: 8, AS: 4, and UC: 12). In clinical trials, the HZ-incidence was higher in TOFA-treated patients with RA (2.2–7.1/100 patient-years) or UC (1.3–7.6/100 patient-years) compared to PsA (1.7/100 patient-years), and with higher doses of TOFA in UC (10 mg/twice daily: 3.2–7.6/100 patient-years vs. 5 mg/twice daily: 1.3–2.3/100 patient-years). Evidence for HZ-risk in JAKi-treated patients with AS and in UPA-treated patients was limited. The HZ-incidence between TOFA and BARI groups in 2 RA RWS did not differ significantly. Concomitant glucocorticoid, but not methotrexate, use in RA increased the HZ-risk. This systematic review showed higher HZ-risk in RA or UC than PsA patients treated with TOFA, in those treated with higher TOFA doses or with concomitant glucocorticoids. Preventive measures and monitoring of JAKi-treated patients with IMIDs are essential in daily practice.