Background: Extracorporeal shockwave therapy (ECSWT) is increasingly used to treat different types of musculoskeletal conditions in sport and companion animals. To explore the scientific basis for the treatment, we conducted a systematic review of the literature on ECSWT used in horses, dogs, and cats. Methods: Relevant articles published in 1980–2020 were identified from three major databases. Each article was assessed for risk of bias. Results: The review identified 27 relevant articles on the effects of ECSWT in horses, nine in dogs, but none in cats. Typically, ECSWT involved one to three treatment sessions at 1- to 3-week intervals. We identified studies on bone mass and bone healing, wound healing, navicular disease, ligament injury, desmitis, sesamoiditis, tendon injury, osteoarthritis, and short-term analgesic effects. Common to all indications was that the scientific evidence was very limited. For each separate indication, there were relatively few studies, many of which had methodological flaws. Where favorable results were reported, they were usually not replicated in independent studies. A few encouraging results were found. Conclusions: In sport and companion animals, the scientific evidence for clinical effects of ECSWT in horses, dogs, and cats is limited. For some applications, notably short-term pain relief, ligament ailments, and osteoarthritis, the results seem promising and warrant further exploration in high-quality studies.