Background Depression is associated with negative work outcomes such as reduced work participation (WP) (e.g., sick leave duration, work status) and work functioning (WF) (e.g., loss of productivity, work limitations). For the development of evidence-based interventions to improve these work outcomes, factors predicting WP and WF have to be identified. Methods This paper presents a systematic literature review of studies identifying factors associated with WP and WF of currently depressed workers. Results A total of 30 studies were found that addressed factors associated with WP (N = 19) or WF (N = 11). For both outcomes, studies reported most often on the relationship with disorder-related factors, whereas personal factors and work-related factors were less frequently addressed. For WP, the following relationships were supported: strong evidence was found for the association between a long duration of the depressive episode and work disability. Moderate evidence was found for the associations between more severe types of depressive disorder, presence of co-morbid mental or physical disorders, older age, a history of previous sick leave, and work disability. For WF, severe depressive symptoms were associated with work limitations, and clinical improvement was related to work productivity (moderate evidence). Due to the cross-sectional nature of about half of the studies, only few true prospective associations could be identified. Conclusion Our study identifies gaps in knowledge regarding factors predictive of WP and WF in depressed workers and can be used for the design of future research and evidence-based interventions. We recommend undertaking more longitudinal studies to identify modifiable factors predictive of WP and WF, especially work-related and personal factors.