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Adolescent (10–19 years) mental health remains an overlooked global health issue. Rates of adolescent pregnancy within sub-Saharan Africa are some of the highest in the world and occur at the epicentre of the global HIV epidemic. Both experiencing adolescent pregnancy and living with HIV have been found to be associated with adverse mental health outcomes, when investigated separately. Poor mental health may have implications for both parent and child. The literature regarding mental health within groups experiencing both HIV and adolescent pregnancy is yet to be summarised. This systematic review sought to identify (1) the prevalence/occurrence of common mental disorder amongst adolescents who are living with HIV and have experienced pregnancy, (inclusive of adolescent fathers) in sub-Saharan Africa (2) risk and protective factors for common mental disorder among this group, and (3) interventions (prevention/treatment) for common mental disorder among this group. A systematic search of electronic databases using pre-defined search terms, supplemented by hand-searching, was undertaken in September 2020. One author and an independent researcher completed a title and abstract screening of results from the search. A full-text search of all seemingly relevant manuscripts (both quantitative and qualitative) was undertaken and data extracted using pre-determined criteria. A narrative synthesis of included studies is provided. Quality and risk of bias within included studies was assessed using the Newcastle-Ottawa scale. A systematic keyword search of databases and follow-up hand searching identified 2287 unique records. Of these, thirty-eight full-text quantitative records and seven full-text qualitative records were assessed for eligibility. No qualitative records met the eligibility criteria for inclusion within the review. One quantitative record was identified for inclusion. This study reported on depressive symptomology amongst 14 pregnant adolescents living with HIV in Kenya, identifying a prevalence of 92.9%. This included study did not meet the high methodological quality of this review. No studies were identified reporting on risk and protective factors for common mental disorder, and no studies were found identifying any specific interventions for common mental disorder for this group, either for prevention or for treatment. The limited data identified within this review provides no good quality evidence relating to the prevalence of common mental disorder among adolescents living with HIV who have experienced pregnancy in sub-Saharan Africa. No data was available relating to risk and protective factors or interventions for psychological distress amongst this group. This systematic review identifies a need for rigorous evidence regarding the mental health of pregnant and parenting adolescents living with HIV, and calls for granular interrogation of existing data to further our understanding of the needs of this group. The absence of research on this topic (both quantitative and qualitative) is a critical evidence gap, limiting evidence-based policy and programming responses, as well as regional development opportunities.