Prolonged grief symptoms frequently co‐occur with symptoms of depression, posttraumatic stress, and anxiety; however, little is known about how prolonged grief symptoms temporally relate to symptoms of neighboring stress‐related and affective disorders. Clarifying such associations can help elucidate which symptoms to prioritize during treatment for distressed bereaved adults. We conducted a systematic review to provide a comprehensive overview of the empirical research on the bidirectional temporal associations between prolonged grief symptoms and symptoms of depression, posttraumatic stress, and anxiety. A search of the PsycInfo, Web of Science, and Scopus databases (final search: December 2023) identified eight relevant empirical longitudinal studies utilizing lower‐level mediation (two studies), cross‐lagged panel modeling (CLPM; four studies), or random‐intercept CLPM (RI‐CLPM; two studies). The studies included a total of 2,914 bereaved adult participants. Studies showed considerable methodological heterogeneity, including different sample characteristics, study designs (e.g., measurement moments, time frames), statistical analyses, and measures. Temporal associations between prolonged grief symptoms and different types of symptoms appeared intertwined. Prolonged grief symptoms more consistently predicted symptoms of depression and posttraumatic stress across measurement waves than vice versa, tentatively suggesting that prolonged grief may be a transdiagnostic risk factor for depressive and PTS symptoms. However, this pattern was not observed in the two studies utilizing RI‐CLPM. Future research should aim to decrease methodological heterogeneity by using validated measures to capture prolonged grief symptoms, appropriate timeframes, and RI‐CLPM to clarify associations between temporal within‐person fluctuations of prolonged grief, depressive, posttraumatic stress, and anxiety symptoms.