This article reviews the experimental research on the level of anxiety or depression in gifted individuals. Twenty-seven studies compared gifted and typically developing individuals for the anxiety level and 15 studies for the depression level comparison. This current meta-analysis was performed on the anxiety and depression levels distinctly. We found a non-significant negative effect size for both anxiety, g = −0.14, k = 27, and depression, g = −0.14, k = 15. These values should be taken cautiously given that a high heterogeneity was also found, which remained largely unexplained by the moderators tested. Only age and type of anxiety assessment emerged as significant moderators for the anxiety domain. The observed effect size for depression was not significantly affected by the subgroups analyzed.