Introduction: Anxiety and depression are harmful to individuals suffering from these disorders, their caregivers, and the economy. Remote delivery of psychotherapy has been established as a viable alternative to traditional in-person psychotherapy for treating anxiety and depression. However, literature comparing and evaluating the variety of remote delivery modalities of psychotherapy has not yet been integrated. This review examines the efficacy, practicality, and limitations of telephone, video, and online-administered psychotherapy for the treatment of anxiety and depression. Methods: A comprehensive literature search conducted using PubMed and PsycINFO included systematic reviews, randomized controlled trials, and cost-analysis studies focused on a remote delivery method of psychotherapy for anxiety and depression. Results: Overall, interventions delivered through telephone, video, and online modalities demonstrated good efficacy in treating anxiety and depression in general, and when presenting comorbid with other disorders. The literature also suggested that telehealth psychotherapy is accessible, convenient, and cost-effective. However, there is less evidence for video-delivered psychotherapy for anxiety and depression compared with telephone-administered and online-administered modalities. Despite this, overall, the efficacy and practical benefits of remote psychotherapy interventions in treating anxiety and depression across a diverse range of patient groups suggested that it is an appropriate alternative for those who cannot access in-person psychotherapy. Conclusions: Further research evaluating the efficacy and practical benefits of video-delivered psychotherapy for anxiety and depression is much needed for patients with limited access to in-person psychological care.