This review aims to establish the impact of oxygen therapy on dyspnoea, health-related quality of life (HRQoL), exercise capacity and mortality in interstitial lung disease (ILD). We included studies that compared oxygen therapy to no oxygen therapy in adults with ILD. No limitations were placed on study design or intervention type. Two reviewers independently evaluated studies for inclusion, assessed risk of bias and extracted data. The primary outcome was dyspnoea. Eight studies evaluated the acute effects of oxygen (n=1509). There was no effect of oxygen therapy on modified Borg dyspnoea score at end exercise (mean difference (MD) −0.06 units, 95% CI −0.24–0.13; two studies, n=27). However, effects on exercise outcomes consistently favoured oxygen therapy. One study showed reduction in dyspnoea at rest with oxygen in patients who were acutely unwell (MD visual analogue scale 30 mm versus 48 mm, p<0.05; n=10). Four studies of long-term oxygen therapy (n=2670) had high risk of bias and no inferences could be drawn. This systematic review showed no effects of oxygen therapy on dyspnoea during exercise in ILD, although exercise capacity was increased. Future trials should evaluate whether acute improvements in exercise capacity with oxygen can be translated into improved physical activity and HRQoL.