Abstract Background Depression is associated with problems in social functioning. Impaired empathic abilities might underlie this association. Empathy is a multidimensional construct and involves both affective and cognitive processes. We reviewed the literature to find out to what extent depression may be associated with abnormal levels of affective and cognitive empathy. We also explored potential gender differences in these associations. Methods We used PsycInfo and Medline to conduct a systematic review of all studies on empathy and depression conducted in individuals with a primary diagnosis of major depressive disorder (MDD; patient samples) or in individuals with primarily subclinical depressive symptoms (analog samples). Results Thirty-seven studies met the inclusion criteria. The results indicated that depression was related to one type of affective empathy. Specifically, depression was related to high levels of empathic stress but not to abnormal empathic concern. Further, depression was related to limited cognitive empathy, as indicated by poor perspective taking, theory of mind, and empathic accuracy. Limitations Few studies have considered the variable gender in their design and analyses. Between and within study variation in demographic and clinical variables limits the interpretation of results. Self-report measures of empathy are subjective and vulnerable to bias. Poor performance on the more objective laboratory tasks might partially be explained by the broader cognitive deficits commonly observed in depression. Lastly, because all studies used a cross-sectional design, causality is difficult to establish. Conclusions Empathic abilities may be impaired in depression. The relation between empathy, depression, and gender is unclear. Future studies could use implicit and more ecologically valid measures of empathy. Insight into impaired empathy in depression may not only help explain poor social functioning in MDD but also benefit clinician–patient interactions.