Patients with mild cognitive impairment (MCI) and dementia are more prone to depression than people without MCI or dementia. Some studies have found nonpharmacological multi-component intervention to be more effective than single-component intervention in improving the condition of patients with MCI and dementia; however, their effect on depressive symptoms is still inconsistent. Therefore, it is necessary to explore the effectiveness of nonpharmacological multi-component intervention in improving depressive symptoms in patients with MCI and dementia. This review retrieved papers from PubMed, Embase, Cochrane Library, CINAHL, PsycINFO and CNKI. The retrieval time limit was set from 1 January 1990 to 25 November 2022. The PRISMA 2020 guideline was used to report the included studies. The result showed that nonpharmacological multi-component intervention could improve depressive symptoms in patients with MCI and dementia. Among them, nonpharmacological multi-component intervention with a duration of <6 months, physical and cognitive activities, or other activities had significant effects. However, each study differed in terms of specific measures, duration and frequency of intervention methods. Accordingly, more randomized controlled trials with larger samples are required to discover the best scheme for nonpharmacological multi-component intervention.