The aim of the present study is to perform a systematic review and meta-analysis on depression, stress and anxiety in women who experienced recurrent pregnancy loss (RPL) compared to controls and to men who experienced RPL. The pooled results showed a higher level of moderate/severe depression among women who experienced RPL compared to controls (5359 women, random effects model, odds ratio (OR) 3.77, 95% Confidence Interval (CI) 2.71–5.23, p < 0.00001, I2 0%). Anxiety and stress levels were also higher among women experiencing RPL compared to controls. The pooled results showed a higher level of moderate/severe depression in women who experienced RPL compared to men who underwent the same experience (113/577 (19.5%) women versus 33/446 (7%) men versus random effects model, OR 4.63; 95% CI 2.95–7.25, p < 0.00001 I2 0%). Similarly, higher levels of stress and anxiety in women experiencing RPL compared to men experiencing RPL were described. Women who experienced RPL showed higher rates of moderate–severe depression, stress and anxiety compared to both controls and men who experienced RPL. Healthcare professionals should implement screening for anxiety and depression and social support for both partners and support them in dealing with RPL according to sex-specific responses to this stressful event.