Sport may protect against symptoms of mental disorders that are increasingly prevalent among adolescents. This systematic review explores the relationship between adolescent organized sport participation and self-reported symptoms of anxiety and depression. From 9,955 records screened, 29 unique articles were selected that included 61 effect sizes and 122,056 participants. Effects were clustered into four categories based on the operationalization of sport involvement: absence or presence of involvement, frequency of involvement, volume of involvement, and duration of participation. Results from the random-effects meta-analyses indicated that symptoms of anxiety and depression were significantly lower among sport-involved adolescents than in those not involved in sport, although this effect size was small in magnitude. Meta-regression was used to identify how age and sex explained heterogeneity in effects. Although these results do not signify a causal effect, they do support theorizing that sport participation during adolescence may be a protective environment against anxiety and depressive symptoms.