(1) Background: Evidence suggested inconsistent results in anxiety and depression scores among female and male cancer patients. The present systematic review and meta-analysis aimed to assess how anxiety and depression conditions among cancer patients vary according to sex. (2) Methods: This systematic review and meta-analysis was conducted according to the Preferred Reporting Items for Systematic Reviews and Meta-analysis (PRISMA). The protocol was registered in PROSPERO with id no. CRD42024512553. The search strategy involved combining keywords using Boolean operators, including "Anxiety", "Cancer", and "Depression", across several databases: Embase, PubMed, Scopus, and Web of Science. The outcomes were evaluated using the Hospital Anxiety and Depression Scale (HADS). (3) Results: Data were collected from five studies, enrolling a total of 6317 cancer patients, of whom 2961 were females and 3356 males. For each study, HADS-A and HADS-D scores were considered, also differentiating HADS scores according to cancer typology, and then three different meta-analyses were performed. Generally, females reported significantly higher levels of depression scores than males and, conversely, males reported significantly greater levels of anxiety than females. (4) Conclusions: Previous studies suggested higher rates of depression and anxiety conditions in females than in males, but the present data highlighted controversial findings, since males reported significantly higher levels of anxiety than females. In this scenario, the theoretical approach justified females being more open than males to expressing anxiety or depression conditions. It would be necessary for healthcare professionals to improve effective measures purposed at assessing and mitigating depressive symptoms in cases of advanced cancer, thereby improving their mental health, given the high rates of depression in advanced cancer patients, due to the difficulty level of performing their daily living activities, which deteriorate further over time.