Social anxiety is common in psychosis and associated with impaired functioning, poorer quality of life, and higher symptom severity. This study systematically reviewed factors maintaining social anxiety in people with attenuated, transient, or persistent psychotic experiences. Other correlates of social anxiety were also examined. MEDLINE, Embase, CENTRAL, and PsycINFO were searched for relevant literature up to October 19, 2020. Forty-eight articles were eligible for narrative synthesis: 38 cross-sectional studies, 8 prospective studies, 1 uncontrolled trial, and 1 qualitative study. From 12060 participants, the majority was general population (n = 8771), followed by psychosis samples (n = 2532) and those at high risk of psychosis (n = 757). The methodological quality and risk of bias were assessed using the Mixed Methods Appraisal Tool. Ninety percent of studies were rated as high to very-high quality. Poorer quality studies typically failed to adequately control for confounds and provided insufficient information on the measurement validity and reliability. Prominent psychological factors maintaining social anxiety included self-perceptions of stigma and shame. Common correlates of social anxiety included poorer functioning and lower quality of life. In conclusion, stigma and shame could be targeted as a causal mechanism in future interventional studies. The integration of findings from this review lead us to propose a new theoretical model to guide future intervention research.