Background: The rates of mental health disorders such as anxiety and depression are at an all-time high especially since the onset of COVID-19, and the need for readily available digital health care solutions has never been greater. Wearable devices have increasingly incorporated sensors that were previously reserved for hospital settings. The availability of wearable device features that address anxiety and depression is still in its infancy, but consumers will soon have the potential to self-monitor moods and behaviors using everyday commercially-available devices. Objective: This study aims to explore the features of wearable devices that can be used for monitoring anxiety and depression. Methods: Six bibliographic databases, including MEDLINE, EMBASE, PsycINFO, IEEE Xplore, ACM Digital Library, and Google Scholar were used as search engines for this review. Two independent reviewers performed study selection and data extraction, while two other reviewers justified the cross-checking of extracted data. A narrative approach for synthesizing the data was utilized. Results: From 2408 initial results, 58 studies were assessed and highlighted according to our inclusion criteria. Wrist-worn devices were identified in the bulk of our studies (n = 42 or 71%). For the identification of anxiety and depression, we reported 26 methods for assessing mood, with the State-Trait Anxiety Inventory being the joint most common along with the Diagnostic and Statistical Manual of Mental Disorders (n = 8 or 14%). Finally, n = 26 or 46% of studies highlighted the smartphone as a wearable device host device. Conclusion: The emergence of affordable, consumer-grade biosensors offers the potential for new approaches to support mental health therapies for illnesses such as anxiety and depression. We believe that purposefully-designed wearable devices that combine the expertise of technologists and clinical experts can play a key role in self-care monitoring and diagnosis.