There is a growing number of children affected by HIV in Africa. Research on HIV-exposed uninfected children (HEU) is also growing. This systematic review focuses on the psychological well-being of HEU and its association with school intervention, outcomes, and enrollment in the African context, which is where the rate of HIV reaches its highest levels. Research on public databases was conducted according to PRISMA standards. Only studies on HEU primary school children in Africa, both quantitative and qualitative, were included. Out of 1510 papers retrieved, 50 met the inclusion criteria. These studies demonstrate that HEU children are more likely to perform worse in school compared to their counterparts who were not exposed to HIV and to show poorer concentration in the classroom. Children with parents suffering from AIDS are worried for them and have to take household responsibility, resulting in school dropouts, juvenile work, and risky behaviors. Few interventions have been conducted in the school environment with some of them being successful; therefore, future research should involve schools to create an inclusive environment where HEU children could enhance their potential and improve their psychological health.