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The aim of this study was to estimate the prevalence of sexual dysfunction in depressive disorders in individuals not in pharmacological treatment. For this purpose, we performed a systematic review and meta-analysis using the PRISMA guidelines, and the review was registered in PROSPERO (registration number CRD42020179709). Studies that evaluated sexual function and dysfunction in major depressive disorder (MDD) and persistent depressive disorder (PDD) were identified through searches in PubMed/Medline, Web of Science, PsychINFO, Scopus, and Scielo. Twelve cross-sectional studies were eligible. In women with MDD, the pooled prevalence rates of sexual impairment were: 47.22% (95% CI: 34.86–59.58) for arousal; 65.30% (95% CI: 45.86–84.73) for desire; 36.98% (95% CI: 28.42–45.54) for lubrication; 34.17% (95% CI: 17.87–50.46) for orgasm; and 33.91% (95% CI: 17.48–50.34) for sexual satisfaction. In men, the sexual impairment prevalence rates were: 26.45% (95% CI: 12.26–40.63) for arousal; 40.32% (95% CI: 22.19–58.46) for desire; 32.07% (95% CI: 26.14–37.99) for erection; 35.27% (95% CI: 5.13–65.41) for orgasm; and 23.05% (95% CI: 13.60–32.51) for sexual satisfaction. Overall sexual dysfunction was found in 82.75% of women (95% CI: 74.71–90.78) and 63.26% of men (95% CI: 52.83–73.69). Our results show that various sexual functions are impaired in MDD, making imperative the systematic evaluation of these alterations by clinicians. Future studies should be conducted, especially in PDD, to elucidate the role of these disorders in sexual function.