In addition to its contribution to child mortality, HIV/AIDS has a substantial impact on the psychosocial well-being of children. We conducted a systematic review to identify studies that assess the effectiveness of interventions developed to improve the psychosocial well-being of children affected by HIV/AIDS, published between January 2008 and February 2016. Studies were eligible for the review if they included children under the age of 18 years, who had lost a parent to HIV/AIDS, were living with a parent with HIV/AIDS, or were vulnerable because of other factors and living in communities of high HIV/AIDS prevalence. Studies documented any intervention to improve the psychosocial well-being of children including psychological, psychosocial, medical, and social interventions, with psychological and/or social factors as outcomes. We identified 17 interventions to improve the psychosocial well-being of children affected by HIV/AIDS. Of these, 16 studies took place in 8 different low- and middle-income countries (LMIC), and 6 in Southern and Eastern Africa. Of the total, 15 showed some significant benefits of the intervention, while 2 showed no difference to psychosocial outcomes. The content of interventions, dosage and length of follow-up varied substantially between studies. There were few studies on children under 7 years and several focused mostly on girls. Due to the variability between interventions, it was not possible to make consolidated recommendations for programming based on the results of this review. However, we note that efforts to improve evaluation of interventions to improve the psychosocial well-being of children affected by HIV/AIDS have resulted in a number of new studies which met the inclusion criteria for the review. Most were research projects and not evaluations of existing services. We call for increased partnerships between policymakers, practitioners, and researchers in order to design evaluation studies that can feed into the growing evidence base.