The relationship between mental illness and HIV/AIDS is complex and bidirectional. A significant amount of research has been performed in high-income countries but less is known about HIV and mental health in sub-Saharan Africa. The objectives of the review were to search the literature for quantitative studies conducted in sub-Saharan Africa on mental health and HIV and to critically evaluate and collate the studies in order to identify research needs and priorities. The databases Ovid, MEDLINE, PsycINFO and the Social Sciences Citation Index (SSCI) were searched for variations of search terms related to HIV/AIDS and mental health and studies limited to the populations of African countries. In addition, we hand-searched indexes of key journals and the databases of academic theses. We included 104 papers or research publications. The majority of these were published after 2005. The major topics covered were: mental-health-related HIV-risk behaviour, HIV in psychiatric populations, and mental illness in HIV-positive populations. The reported prevalence levels of mental illness among people living with HIV or AIDS (PLHIV) was high, with all but one study noting a prevalence of 19% or higher. Neurocognitive changes in adults with HIV were also prevalent, with reported deficits of up to 99% in symptomatic PLHIV and 33% in non-symptomatic PLHIV. Research on HIV in relation to mental health is increasing; however, there is a need for good-quality prospective studies to investigate the bidirectional effects of mental illness and HIV on each other.