Background: The aim of this paper was to perform a systematic review and, when feasible, a meta-analysis of randomized controlled trials (RCT) which used benzodiazepines (BZD) as a monotherapy versus placebo, antidepressant drugs (AD), or both. Methods: Keyword searches were conducted for identifying RCT comparing BZD and AD, and/or placebo in the treatment of depression, using electronic databases from their inception up to April 2017. We selected reports of RCT in which BZD were compared to AD and/or placebo in the treatment of adult patients with a primary diagnosis of depressive disorder or anxious depression. When feasible, data were subjected to meta-analysis. Results: A total of 38 studies met the criteria for inclusion and were then included in the systematic review. Only 1 study concerned a newer AD, fluvoxamine. For the meta-analysis, we submitted data on response rate from 22 RCT, considering BZD versus placebo (8 comparisons) and BZD versus tricyclic antidepressants (TCA) (20 comparisons). There was a lack of significant differences as to response rate between BZD and placebo, as well as between BZD and TCA. Analysis of individual studies disclosed that, in more than half of the studies comparing BZD to TCA and/or placebo, BZD were significantly more effective than placebo and as effective as TCA. Conclusions: BZD are a therapeutic option in anxious depression and there are no indications that AD are preferable. There is a pressing need for RCT of adequate methodological quality and follow-up comparing BZD to second-generation AD and placebo in anxious depression.