Psychosocial and behavioral interventions have been shown to significantly reduce depressive and anxiety symptoms in different populations. Recent evidence suggests that the mental health of the general population has deteriorated significantly since the start of Coronavirus Disease 2019 (COVID-19) pandemic. We conducted a systematic review and meta-analysis of studies on the therapeutic effects of psychosocial and behavioral interventions on depression and anxiety during the COVID-19 pandemic. We systematically searched six electronic databases between December 2019 and February 2022 including PubMed, PsycINFO, Scopus, Web of Science, CNKI, and Wanfang Data. We included randomized clinical trials of psychosocial and behavioral interventions in individuals with depressive or anxiety symptoms during the COVID-19 outbreak compared to various control conditions. A total of 35 eligible studies with 5457 participants were included. The meta-analysis results showed that psychosocial and behavioral interventions had statistically significant moderate effects on depression [SMD = − 0.73, 95% CI (− 1.01, − 0.45), I2 = 90%] and large effects on anxiety [SMD = − 0.90, 95% CI (− 1.19, − 0.60), I2 = 92%], especially in the general population and COVID-19 survivors. Exercise and cognitive behavioral therapy were found to be the most effective treatments with moderate-to-large effect size for depression and anxiety during the outbreak of COVID-19. We also found the internet-based approach could also achieve almost equally significant effects on depression and anxiety compared with face-to-face traditional approach. Our findings suggest that cognitive behavioral therapy and physical exercise intervention are significantly effective for depression and anxiety related to the COVID-19 pandemic regardless of the delivery modes, and gender differences should be taken into consideration for better implementation of interventions in clinical and community practice.