Sexual hallucinations are little known, yet often extremely burdening, phenomena. In this systematic review, we summarize what is known about their phenomenology, prevalence, etiopathology, ensuing distress, and treatment options. Sexual hallucinations can be experienced as genital or orgasmic sensations, although other sensory modalities can also be involved. With the notable exception of orgasmic auras in the context of epilepsy, sexual hallucinations tend to be distressing and embarrassing in nature. Our analysis of 79 studies (together describing 390 patients) indicates that sexual hallucinations are more frequent in women than in men, with a sex ratio of 1.4:1, and that they are most prevalent in schizophrenia spectrum disorders, with rates ranging from 1.4% in recently admitted patients to 44% in chronically hospitalized patients. Other underlying conditions include epilepsy, the incubus phenomenon (possibly the most prevalent cause in the general population, associated with sleep paralysis), narcolepsy, and sedative use. As regards the sedative context, we found more medicolegal than purely medical cases, which sadly underlines that not all sexually explicit sensations experienced in anesthesia practice are indeed hallucinations. In the absence of evidence-based treatment protocols for sexual hallucinations, practice-based guidelines tend to focus on the underlying condition. Further research is needed, especially in the fields of substance abuse, posttraumatic stress disorder, and borderline personality disorder, where only anecdotal information on sexual hallucinations is available. Moreover, awareness of sexual hallucinations among health professionals needs to be improved in order to facilitate counseling, diagnosis, and treatment.