Depression is highly prevalent in patients with systemic lupus erythematosus (SLE) and is associated with adverse clinical outcomes. The systematic review and meta-analysis included 26 studies with 8,960 patients who were assessed with validated scales. Significant risk factors for depression included economic hardship (OR = 6.05, 95% CI: 3.64–10.07), high doses of glucocorticoids (OR = 7.72, 95% CI: 4.62–12.90), higher disease activity (OR = 3.15, 95% CI: 1.48–6.32), unemployment (OR = 3.06, 95% CI: 1.48–6.32). CI: 1.48–6.32), lower education (OR = 2.21, 95% CI: 1.45–3.36), presence of comorbidities (OR = 2.20, 95% CI: 1.45–3.34), smoking (OR = 1.91, 95% CI: 1.44–2.54) and greater fatigue (per unit increase: OR = 1.23, 95% CI: 1.08–1.40). Younger age was also a risk factor (OR = 1.97, 95% CI: 1.41–2.76). Analyzes showed heterogeneity explained by assessment tools, geography and publication bias that did not alter the main findings. The conclusion recommends routine screening of depression with regard to disease burden and social context in clinical practice.