Men who have sex with men and transgender women in the United States are at increased risk for HIV and may benefit from pre-exposure prophylaxis (PrEP), a once-a-day pill to prevent HIV. Due to stigma and discrimination, sexual and gender minority (SGM) populations are also at risk for depression and anxiety. This scoping review sought to identify literature addressing relationships between the PrEP care continuum, depression, and anxiety among SGM individuals and others at high risk for HIV. We conducted a systematic review of four databases (i.e., PubMed, PsycInfo, Web of Science, Google Scholar) and identified 692 unique articles that were screened for inclusion criteria, with 51 articles meeting the final inclusion criteria. Data were extracted for key study criteria (e.g., geographic location, participant demographics, study design, main findings). Results suggest that while depression and anxiety are not associated with PrEP awareness or willingness to use, they can be barriers to seeking care and to PrEP adherence. However, empirical studies show that taking PrEP is associated with reductions in anxiety. Findings suggest the need to implement mental health screenings in PrEP clinical care. In addition, addressing systemic and structural issues that contribute to mental health disorders, as well as PrEP-related barriers, is critical.