Background: Sarcomas comprise a rare and histologically heterogeneous group of solid malignant tumors. Studies on patients with sarcoma are comparatively rare. Objectives: This publication provides an overview of comorbid mental disorders in patients with bone and soft tissue sarcoma. Materials and methods: A comprehensive literature search was conducted on psychological comorbidities and emotional burden in patients with sarcoma. Furthermore, relevant determinants and possible causes were considered. All results were narratively summarized. Possibilities for using patient-reported outcome (PRO) assessments to identify mental disorders were discussed. Results: Patients with sarcoma exhibit significantly increased psychosocial burdens and mental disorders at diagnosis, during treatment, and in further life. Depression (prevalence: 23–30%) and anxiety disorders (prevalence: 13–19%) are particularly common. Even before diagnosis, patients with sarcoma are affected by mental disorders significantly more often than cancer-free controls. Impairments to quality of life are common at diagnosis and during treatment. Discussion: To ensure early identification and adequate treatment of psychological comorbidities, sarcoma patients should undergo regular comprehensive screening for emotional distress and mental disease patterns. Furthermore, adequate psycho-oncological treatment has to be ensured. Routine assessment of PRO and implementation within clinical routine care can contribute to a considerable improvement in sarcoma care.