The production of tailored, on-demand drug delivery systems has gained attention in pharmaceutical development over the last few years, thanks to the application of 3D printing technology in the pharmaceutical field. Recently, direct powder extrusion (DPE) has emerged among the extrusion-based additive manufacturing techniques. It is a one-step procedure that allows the direct processing of powdered formulations. The aim of this systematic literature review is to analyze the production of drug delivery systems using DPE. A total of 27 articles have been identified through scientific databases (Scopus, PubMed, and ScienceDirect). The main characteristics of the three types of 3D printers based on DPE have been discussed. The selection of polymers and auxiliary excipients, as well as the flowability of the powder mixture, the rheological properties of the molten material, and the printing temperatures have been identified as the main critical parameters for successful printing. A wide range of drug delivery systems with varied geometries and different drug release profiles intended for oral, buccal, parenteral, and transdermal routes have been produced. The ability of this technique to manufacture personalized, on-demand drug delivery systems has been proven. For all these reasons, its implementation in hospital settings in the near future seems promising.