Background: While it is recognized that psychosocial factors are important in the development and progression of musculoskeletal pain and disability, no systematic review has specifically focused on examining the relationship between psychosocial factors and knee pain. We aimed to systematically review the evidence to determine whether psychosocial factors, specifically depression, anxiety and poor mental health, are risk factors for knee pain. Methods. Electronic searches of MEDLINE, EMBASE and PsycINFO were performed to identify relevant studies published up to August 2012 using MESH terms and keywords. We included studies that met a set of predefined criteria and two independent reviewers assessed the methodological quality of the selected studies. Due to the heterogeneity of the studies, a best evidence synthesis was performed. Results: Sixteen studies were included in the review, of which 9 were considered high quality. The study populations were heterogeneous in terms of diagnosis of knee pain. We found a strong level of evidence for a relationship between depression and knee pain, limited evidence for no relationship between anxiety and knee pain, and minimal evidence for no relationship between poor mental health and knee pain. Conclusions: Despite the heterogeneity of the included studies, these data show that depression plays a significant role in knee pain, and that a biopsychosocial approach to the management of this condition is integral to optimising outcomes for knee pain.