(1) Background: Sexual violence (SV) is a major public health problem, with negative socio-economic, physical, mental, sexual, and reproductive health consequences. Migrants, applicants for international protection, and refugees (MARs) are vulnerable to SV. Since many European countries are seeing high migratory pressure, the development of prevention strategies and care paths focusing on victimised MARs is highly needed. To this end, this study reviews evidence on the prevalence of SV among MAR groups in Europe and the challenges encountered in research on this topic. (2) Methods: A critical interpretive synthesis of 25 peer-reviewed academic studies and 22 relevant grey literature documents was conducted based on a socio-ecological model. (3) Results: Evidence shows that SV is highly frequent in MARs in Europe, yet comparison with other groups is still difficult. Methodologically and ethically sound representative studies comparing between populations are still lacking. Challenges in researching SV in MARs are located at the intrapersonal, interpersonal, community, societal, and policy levels. (4) Conclusions: Future research should start with a clear definition of the concerned population and acts of SV to generate comparable data. Participatory qualitative research approaches could be applied to better grasp the complexity of interplaying determinants of SV in MARs.