Psychological distress (including depression and anxiety) is common in the first years of cancer diagnosis but can differ by country and region. The aim of the present paper was to review the prevalence of psychological distress among cancer patients in the Southeast Asia (SEA) region. A systematic literature search was carried out using several databases (i.e., PubMed, PsychARTICLES, Embase, CINAHI, Web of Sciences, Plus, Scopus, and AHMED). Papers originally published in English language were taken into consideration if they (i) were published from 2010 to 2021 and (ii) reported the prevalence of psychological distress among patients with different types of cancer. A total of 23 studies met the inclusion criteria. The most frequently employed psychometric instrument for anxiety and depression screening was the Hospital Anxiety and Depression Scale (HADS). The prevalence of anxiety (ranging from 7% to 88%) was wider than that of depression (ranging from 3% to 65.5%) among patients with different types of cancer and living in various countries in the SEA region. The overall prevalence rate of psychological distress among cancer patients from the SEA region was not fundamentally very different from that of general populations. These findings provide useful information for health professionals and cancer patients to understand the negative role of psychological distress in quality of life and health. The research findings demonstrate the importance of counselling for psychological distress among cancer patients as means of effectively resolving their psychological problems and ultimately improving the quality of oncology medical care. Clinical recommendations for cancer management should incorporate the early identification of (and therapy for) psychological distress, as well as their monitoring during treatment.