Objectives: Anxiety and depression are common in chronic physical illness populations. Self-compassion, the motivation and the capacity to alleviate one’s own suffering, is associated with reduced anxiety and depression in mental health populations. This review aimed to collate available research showing links between self-compassion and anxiety and depression in chronic physical illness populations. Methods: This study is a systematic review of English language studies investigating univariate and multivariate correlates of anxiety and depression by self-compassion constructs in adult chronic physical illness populations. Results: Twenty papers, reporting data from 16 unique studies, were included. Half sampled cancer patients. Self-compassion scores consistently showed moderate to large inverse associations with anxiety and depression over both univariate (r = −.37 to −.53 and r = −.38 to −.66, respectively) and multivariate analyses (β =.01 to β = −.55 and β = −.17 to β = −.59, respectively). Worry and depressive brooding, and shame, mediated relationships between self-compassion and anxiety and depression. Conclusions: Although findings suggest that self-compassion processes may have a role in alleviating anxiety and depression in chronic physical illness populations, methodological limitations limit confidence in this proposition. Prospective studies that identify theoretically plausible mediators and moderators are required before the development or modification of therapeutic interventions.