The COVID-19 pandemic has had severe impacts on mental health status worldwide. Several studies have investigated the prevalence and factors associated with depression, anxiety, and stress in different countries, however, a systematic review on the research topic during COVID-19 is presently lacking in Malaysia's context. To fill this gap, electronic databases including PubMed, Scopus, Science Direct, Sagepub, CINAHL, Psychology, and Behavioral Sciences Collection were searched for relevant studies. A total of 16 studies were included in the systematic review. To fill this gap, electronic databases including PubMed, Scopus, Science Direct, Sagepub, CINAHL, Psychology, and Behavioral Sciences Collection were searched for relevant studies. A total of 16 studies were included in the systematic review. The analyses showed that the prevalence of depression, anxiety, and stress ranged from 14.3% to 81.7%, 8.0% to 81.7%, and 0.9% to 56.5% respectively. Adult populations demonstrated the highest prevalence of depression, whereas university students reported the highest prevalence of anxiety and stress. Several factors were associated with mental health conditions including age, gender, family income, and perception of COVID-19. Differentials in mental health screening practices call for standardised screening practices. Mental health intervention should be targeted at high-risk populations with effective risk communication.