In addition to the physical benefits, another important objective of coronary artery bypass graft (CABG) surgery is improvement of health-related quality of life. The aim of this systematic review is to provide an overview of the literature relating to the pre-operative prediction of post-operative depression and anxiety in individuals who have undergone CABG surgery. Forty-six studies were identified through a literature search of electronic databases conducted using explicit inclusion and exclusion criteria. The study characteristics, methodological features, and psychometric and clinical outcomes were summarised in a systematic manner. Collective appraisal of the studies indicated that symptoms of depression and anxiety exhibited after CABG surgery are best predicted by pre-operative measures of functioning in that area. Papers were inconclusive with respect to the predictive qualities of gender and age. Further research is required to clarify the predictive values of these and other factors, including pre-morbid ill health and socio-economic status. The findings of this review indicate a range of pre-operative predictors of post-operative depression and anxiety in patients with CABG. Chief among these are pre-operative depression and anxiety. These findings have clinical implications concerning the importance of pre and post-operative psychological assessment and intervention for individuals at risk of poor psychological recovery.