Background In Europe, HIV disproportionately affects men who have sex with men (MSM), people who inject drugs (PWID), prisoners, sex workers, and transgender people. Epidemiological data are primarily available from national HIV case surveillance systems that rarely capture information on sex work, gender identity or imprisonment. Surveillance of HIV prevalence in key populations often occurs as independent studies with no established mechanism for collating such information at the European level. Aim We assessed HIV prevalence in MSM, PWID, prisoners, sex workers, and transgender people in the 30 European Union/European Economic Area countries and the United Kingdom. Methods We conducted a systematic literature review of peer-reviewed studies published during 2009–19, by searching PubMed, Embase and the Cochrane Library. Data are presented in forest plots by country, as simple prevalence or pooled across multiple studies. Results Eighty-seven country- and population-specific studies were identified from 23 countries. The highest number of studies, and the largest variation in HIV prevalence, were identified for MSM, ranging from 2.4–29.0% (19 countries) and PWID, from 0.0–59.5% (13 countries). Prevalence ranged from 0.0–15.6% in prisoners (nine countries), 1.1–8.5% in sex workers (five countries) and was 10.9% in transgender people (one country). Individuals belonging to several key population groups had higher prevalence. Conclusion This review demonstrates that HIV prevalence is highly diverse across population groups and countries. People belonging to multiple key population groups are particularly vulnerable; however, more studies are needed, particularly for sex workers, transgender people and people with multiple risks.