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There is increasing interest in using serious games to deliver or complement healthcare interventions for mental health, particularly for the most common mental health conditions such as anxiety and depression. Initial results seem promising, yet variations exist in the effectiveness of serious games, highlighting the importance of understanding optimal design features. It has been suggested that the involvement of end-users in the design and decision-making process could influence game effectiveness. In user-centered design (UCD) or participatory design (PD), users are involved in stages of the process, including planning, designing, implementing, and testing the serious game. To the authors' knowledge, no literature review to date has assessed the use of UCD/PD in games that are designed for mental health, specifically for anxiety or depression. The aim of this review is, therefore, to document the extent to which published studies of serious games that are designed to prevent or treat anxiety and depression have adopted a PD framework. A search of keywords in PubMed and PsychINFO databases through to December 2016 was conducted. We identified 20 serious games developed to prevent, treat or complement existing therapies for anxiety and/or depression. Half (N = 10; 50%) of these games were developed with input from the intended end-users, in either informant (N = 7; 70%) or full participatory co-design roles (N = 3; 30%). Less than half of games (45%) included users only in the testing phase.