A prothrombotic state is reported with severe COVID-19 infection, which can manifest in venous and arterial thrombotic events. Coagulopathy is reflective of more severe disease and anticoagulant thromboprophylaxis is recommended in hospitalized patients. However, the prevalence of thrombosis on the intensive care unit (ICU) remains unclear, including whether this is sufficiently addressed by conventional anticoagulant thromboprophylaxis. We aimed to identify the rate of thrombotic complications in ICU-treated patients with COVID-19, to inform recommendations for diagnosis and management. A systematic review was conducted to assess the incidence of thrombotic complications in ICU-treated patients with COVID-19. Observational studies and registries reporting thrombotic complications in ICU-treated patients were included. Information extracted included patient demographics, use of thromboprophylaxis or anticoagulation, method of identifying thrombotic complications, and reported patient outcomes. In 28 studies including 2928 patients, thrombotic complications occurred in 34% of ICU-managed patients, with deep venous thrombosis reported in 16.1% and pulmonary embolism in 12.6% of patients, despite anticoagulant thromboprophylaxis, and were associated with high mortality. Studies adopting systematic screening for venous thrombosis with Duplex ultrasound reported a significantly higher incidence of venous thrombosis compared to those relying on clinical suspicion (56.3% vs. 11.0%, p < 0.001). Despite thromboprophylaxis, there is a very high incidence of thrombotic complications in patients with COVID-19 on the ICU. Systematic screening identifies many thrombotic complications that would be missed by relying on clinical suspicion and should be employed, with consideration given to increased dose anticoagulant thromboprophylaxis, whilst awaiting results of prospective trials of anticoagulation in this cohort.