Among individuals with heart failure (HF), concurrent depression and anxiety may impact the performance of self-management. Little is known about this relationship. The aim of this systematic review of the literature was to describe self-management, depression and anxiety in individuals with HF, and to explore the relationship among these variables. Studies included in the review were written in English, and measured HF self-management, and either or both depression and anxiety. Fourteen studies were included in the review. Overall, the findings on self-management performance were mixed. The levels of depression among individuals with HF were low overall, which was unexpected for this population, whereas findings on the levels of anxiety were mixed, with some authors reporting high levels of anxiety and some reporting low levels. Mixed findings were also noted in terms of the relationship between self-management, and both depression and anxiety.