Depression and anxiety are prevalent mental health disorders with complex psychological and physiological symptoms. Biofeedback interventions provide real-time physiological feedback and show promise as non-pharmacological treatments. Recent advances in entertainment computing, such as virtual reality (VR), artificial intelligence (AI), wearables, and gamification, offer new opportunities to enhance biofeedback outside clinical settings. This systematic review examines 45 peer-reviewed studies from 2019 to 2025, identified via PubMed, IEEE Xplore, ACM, Embase, and Cochrane Library, following PRISMA guidelines. Findings highlight neurofeedback, heart rate variability (HRV), and visual feedback as effective in improving brain modulation and emotional regulation. However, challenges remain in usability, personalization, and real-world integration. We recommend that future research focus on adaptive, user-centered designs leveraging wearable, VR, and AI technologies. This review provides an updated perspective on the evolving role of biofeedback interventions in managing depression and anxiety, emphasizing human-computer interaction considerations.