Large amount of data have been published on non-psychotic depression (NPD), schizophrenia (SZ), and bipolar disorder, while psychotic depression (PD) as an own entity has received much smaller attention. We performed a systematic review and meta-analyses on epidemiology, especially incidence and prevalence, risk factors, and outcomes of PD. A systematic search to identify potentially relevant studies was conducted using four electronic databases and a manual search. The search identified 1764 unique potentially relevant articles, the final study included 99 articles. We found that the lifetime prevalence of PD varies between 0.35% and 1%, with higher rates in older age. Onset age of PD was earlier than that of NPD in younger samples, but later in older samples. There were no differences in gender distribution in PD v. NPD, but higher proportion of females was found in PD than in SZ or in psychotic bipolar disorder (PBD). Risk factors have rarely been studied, the main finding being that family history of psychosis and bipolar disorder increases the risk of PD. Outcomes of PD were mostly worse when compared with NPD, but better compared with SZ and schizoaffective disorder. The outcome compared with PBD was relatively similar, and somewhat varied depending on the measure of the outcome. Based on this review, the amount of research on PD is far from that of NPD, SZ, and bipolar disorder. Based on our findings, PD seems distinguishable from related disorders and needs more scientific attention.