Background: Quality of life (QoL) and psychological distress represent an important aspect of the daily life of cancer patients. The aim of this systematic review was to critically analyze available literature regarding QoL and psychological distress in patients with small renal masses (SRMs). (2) Methods: A systematic search of EMBASE, PUBMED and American Psychological Association (APA-net) was performed on 30 April 2022. Studies were considered eligible if they included patients with SRMs, had a prospective or retrospective design, included at least 10 patients, were published in the last 20 years, and assessed the QoL or psychological distress in patients that underwent active surveillance (AS) in comparison to those that underwent ablation/surgery treatments. (3) Results: The patients that underwent AS were statistically significantly older, with smaller renal masses than those that underwent surgery/ablation. A study showed a significant reduction in total scores of Short Form-12 (SF-12) among AS patients when compared to partial nephrectomy (PN) patients at enrollment (95.0 ± 15.8 vs. 99.1 ± 13.9), 2 years (91.0 ± 16.4 vs. 100.3 ± 14.3), and at 3 years (92.9 ± 15.9 vs. 100.3 ± 14.3), p < 0.05, respectively. That was mainly due to lower physical health scores. On the other hand, another study showed that AS patients with a biopsy-proven malignant tumor had a worse psychological distress sub-score (PDSS) compared to patients treated with surgery/ablation after biopsy. (4) Conclusions: It seems that there is an influence on QoL and psychological distress while on AS of SMRs. However, due to the low amount of available data, the impact of AS or active treatment on QoL or psychological distress of patients with small renal masses warrants further investigation.