The persistence of depressive morbidity is frequent in bipolar disorder, and the pharmacological management of this symptomatology often lacks effectiveness. This systematic review aimed to summarize the results of the naturalistic observational studies on the pharmacological treatment of bipolar depression published through April 2022. The certainty of evidence was evaluated according to the GRADE approach. In sum, 16 studies on anticonvulsants, 20 on atypical antipsychotics, 2 on lithium, 28 on antidepressants, and 9 on other compounds were found. Lamotrigine, quetiapine, aripiprazole, and ketamine were the most investigated compounds. Overall, the results support the recommendations regarding the effectiveness of lamotrigine and quetiapine. In contrast to the current recommendations, aripiprazole was shown to be effective and generally well tolerated. Additionally, SSRIs were shown to be effective, but, since they were associated with a possibly higher switch risk, they should be used as an adjunctive therapy to mood stabilizers. Lithium was only studied in two trials but was shown to be effective, although the serum concentrations levels were not associated with clinical response. Finally, ketamine showed divergent response rates with a low certainty of evidence and, so far, unclear long-term effects. Heterogeneity in diagnosis, sample sizes, study designs, reporting of bias, and side effects limited the possibility of a head-to-head comparison.