The aim of this manuscript was to investigate the effectiveness of conservative therapy for phantom limb pain (PLP). In this systematic review, CINAHL, AMED, the Cochrane database of systematic reviews, PEDro, psychology and behavioral sciences collection, and MEDLINE were systematically searched for appropriate randomized controlled trials (RCTs). Selected papers were assessed for risk of bias, and evidence was graded using the GRADE approach. Twelve RCTs met initial inclusion/exclusion criteria, of which five were of sufficient quality for final inclusion. There is conflicting evidence from two RCTs for the effectiveness of electromagnetic shielding limb liners on pain in the short term. There is limited evidence supporting the effectiveness of both hypnosis in the short term and graded motor imagery (GMI) in the short-to-medium term. Additionally, there is limited evidence that a single session of mirror therapy has no immediate effect on PLP. Limb liner discomfort was the only adverse effect identified. This review identifies a range of conservative therapies, many of which demonstrate preliminary evidence of potential with respect to clinically worthwhile effects above control interventions and few, if any, adverse effects. However, there is a paucity of high-quality evidence upon which to make any firm clinical conclusions.