The death of a loved one in the intensive care unit (ICU) may have a psychological impact on relatives of deceased ICU patients. The first aim of this review is to give an overview of different bereavement support strategies and possible different effects on anxiety, depression, Post-traumatic Stress Disorder (PTSD), and complicated grief. Secondly to assess if there is a difference in organization among bereavement support strategies mentioned in literature. A multi-database search (Pubmed, Web of Science, PsychInfo, Medline, and Embase) was conducted until February 6, 2021. Articles were screened and selected by two independent researchers. Methodological quality of the included articles was assessed using the Delphi List for Quality Assessment of Randomized Clinical Trials and the Newcastle-Ottawa scale (NOS) for nonrandomized trials. The primary literature search revealed 1668 articles, including 769 duplicates. Seven articles were included in this review, of which six were randomized controlled trials and one was a prospective cross-sectional study. We found that a bereavement strategy consisting of a communication strategy and a brochure lowered the appearance of symptoms of PTSD, anxiety, and depression. A brochure, condolence card, and phone call as bereavement support can lower the risk of prolonged grief. Receiving information about CPR and getting the choice to attend CPR led to fewer frequencies of PTSD, depression, and traumatic/complicated grief. A bereavement strategy consisting of multiple parts, including family participation and a brochure may reduce the levels of anxiety, depression, PTSD, and/or complicated bereavement in family members of deceased ICU patients.