Borderline Personality Disorder (BPD) is highly comorbid with depression and anxiety, creating additional difficulty in treating the conditions and poorer prognosis than BPD alone. Dialectical behaviour therapy (DBT) and Mentalisation-Based Treatment (MBT) are specialised psychotherapies for BPD that have demonstrated positive effects for reducing BPD symptoms and scores on depression and anxiety measures. Although developed for treating PTSD, Internal Family Systems (IFS) therapy is effective for addressing past trauma that is also common in BPD. This systematic review investigated the effectiveness of DBT, MBT and IFS for treating BPD with comorbid depression and/or anxiety (BPD + D/A). Using the PRISMA protocol, five academic databases were searched for relevant studies and relevant treatment outcomes. Findings were extracted from 12 included studies. Only studies with a confirmed diagnosis of comorbid depression and/or anxiety disorders were included. This review found that DBT and MBT demonstrated significant reductions in BPD and depressive/anxious symptomatology, emotional and interpersonal difficulties, and impulsive behaviours. These therapeutic approaches also demonstrated reduced numbers of visits to emergency departments, reduced numbers of contacts with mental health services and reduced duration of contacts. None of the studies investigated IFS therapy outcomes for BPD + D/A. These findings are concordant with past research and have implications for increasing the use of DBT and MBT for BPD + D/A. Findings also demonstrate the effectiveness of brief DBT interventions as a more practical option for service users with BPD who experience frequent crisis periods and may struggle to commit to a traditional 12-month program. However, findings should be interpreted cautiously due to small and majority-female samples, mixed study designs and a lack of follow-up data.