From a neurobiological perspective, diverse studies have associated emotional regulation with cognitive deficits. Structural and/or metabolic changes in the frontal cortex are often inferred from dysfunction in cognitive-emotional processing. In addition, electroencephalographic findings support the idea that alpha band oscillations are responses to these same processes. Thus, the objective of this meta-analytical literature review is to verify whether the possible hemispheric lateralization attributed to frontal alpha asymmetry (FAA) correlates with emotional regulation and the cognitive deficits underlying depression. The data included in our meta-analysis are from articles published from 2009 to July 2020, which utilized DSM or ICD criteria to diagnose depression or anxiety disorders and included a control group. For statistical analysis, the measurements obtained through the 10-20 electroencephalography system were used. The frontal alpha asymmetry index was calculated from the difference between the logarithm of the absolute spectral values in the alpha rhythm observed from the F4 and F3 electrodes that were fixed to the scalp of the frontal region of the right and left hemispheres (ln µV² RH-ln µV² LH) = (F4-F3). Eighteen articles were included in the systematic review. Of these, 9 were homogeneous enough for statistical analyses (total N: 1061; NDep: 326; Ncont: 735). Nine others could not be statistically analyzed due to the absence of FAA measurements from the F4 and F3 electrodes. A random effects meta-analysis revealed low heterogeneity (Qt = 11,00, df = 8, p = 0.20, I2 = 27%) and an average effect size of the studies equal to -0.03 (CI = [-0.07 to 0.01]). The results, although not significant, suggested a slight tendency toward left lateralization in the depression group. Although the effects shown in these data did not confirm hemispherical lateralization in depressed patients, it was found that emotional regulation and cognitive processes share similar neural circuits. Therefore, future research on this complex relationship is encouraged, especially studies that are focused on the search for quantitative biological markers in depression.