This Review reports on a scoping review followed by a systematic review to consider interventions designed to address or manage depression or anxiety in children and young people up to the age of 25 years without the need to involve mental health professionals. The scoping review identified 132 approaches, 103 of which referred to children or young people (younger than 25 years). These approaches included social interaction, engagement with nature, relaxation, distraction, sensory stimulation, physical activity, altering perceptions, engaging in hobbies, self-expression, and exploration. A systematic review of effectiveness studies from the literature identified in the scoping review found only 38 studies on seven types of intervention that met the inclusion criteria. 16 studies were based on cognitive or behavioural principles (15 on digital interventions and one on bibliotherapy), ten focused on physical exercise, five on light therapy, three on dietary supplements, two on massage therapy, one on online peer support, and one on contact with a dog. Most studies focused on adolescents or young adults. Evidence suggested that light therapy could be effective for season depression and that digital interventions based on attention bias modification are ineffective for anxiety. Mixed evidence was available on the effectiveness of computerised cognitive behavioural therapy for depression and anxiety, and of physical exercise for depression. All other studies had insufficient certainty to obtain even tentative conclusions about effectiveness. These results highlight the disparity between the extensive range of approaches identified in the scoping review and the restricted number and focus found in the systematic review of effectiveness of these approaches. We call for an expanded research agenda that brings evaluation rigour to a wide range of self or community approaches.