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Background: To explore the scientific evidence for therapeutic ultrasound (TU), we conducted a systematic review of the literature on TU in dogs, horses, donkeys, and cats. Methods: In three major databases, relevant articles published in 1980–2020 were identified. The risk of bias in each article was evaluated. Results: Twenty-four relevant articles on the effects of TU in dogs, nine in horses, two in donkeys, and one in cats were identified. TU usually involved 2–6 treatments weekly for up to 4 weeks. Articles on tendon, ligament, and bone healing, acute aseptic arthritis, osteoarthritis, paraparesis, hindquarter weakness, and back muscle pain were identified. In experimental bone lesions in dogs, there is moderate scientific evidence for enhanced healing. For the treatment of other musculoskeletal conditions, the scientific evidence is insufficient due to the high risk of bias. There is substantial evidence that continuous TU increases tissue temperature in muscles and tendons by up to 5 °C in healthy animals. For disorders in tendons, ligaments, muscles, and joints in sport and companion animals, there is insufficient evidence for the clinical effects of TU.