In addition to its contribution to child mortality, HIV/AIDS has a substantial impact on the psychosocial well-being of children across the globe and particularly in sub-Saharan Africa. We conducted a systematic review of the literature in order to identify studies that assess the effectiveness of interventions developed to improve the psychosocial well-being of children affected by HIV/AIDS, published between January 2008 and February 2016. Studies that were eligible for the review included male and/or female children under the age of 18 years of age, who had lost a parent to HIV/AIDS, were living with a parent with HIV/AIDS, or were vulnerable because of other social and economic factors and living in communities of high HIV and AIDS prevalence, including child and caregiver reports. Studies were included if they documented any intervention to improve the psychosocial well-being of children including psychological therapy, psychosocial support and/or care, medical interventions and social interventions, with psychological and/or social factors as outcomes. We identified 17 interventions to improve the psychosocial well-being of children affected by HIV/AIDS. Of these, 16 studies took place in eight different low and middle-income countries (LMIC), of which 6 were in southern and eastern Africa. One study took place in a high-income setting. Of the total, fifteen showed some significant benefits of the intervention, while two showed no difference to psychosocial outcomes as a result of the intervention. The content of interventions, dosage and length of follow up varied substantially between studies. There were few studies on children under seven years and several focused mostly on girls. Efforts to improve evaluation of interventions to improve the psychosocial well-being of children affected by HIV/AIDS have resulted in a number of new studies which met the inclusion criteria for the review. Most studies are specially designed research projects and not evaluations of existing services. We call for increased partnerships between policy-makers, practitioners and researchers in order to design evaluation studies and can feed into the growing evidence base.