Background: The risk of skin cancer is determined by environmental factors like ultraviolet radiation (UVR), personal habits like time spent outdoors and genetic factors. This review aimed to survey existing studies in gene–environment (GxE) interaction on skin cancer risk, and report on GxE effect estimates. Methods: We searched Embase, Medline (Ovid) and Web of Science (Core Collection) and included only primary research that reported on GxE on the risk of the three most common types of skin cancer: basal cell carcinoma (BCC), squamous cell carcinoma (SCC) and melanoma. Quality assessment followed the Newcastle–Ottawa Scale. Meta-analysis was not possible because no two studies examined the same interaction. This review was registered on PROSPERO (CRD42021238064). Results: In total 260 records were identified after exclusion of duplicates. Fifteen studies were included in the final synthesis—12 used candidate gene approach. We found some evidence of GxE interactions with sun exposure, notably, with MC1R, CAT and NOS1 genes in melanoma, HAL and IL23A in BCC and HAL and XRCC1 in SCC. Conclusion: Sun exposure seems to interact with genes involved in pigmentation, oxidative stress and immunosuppression, indicating that excessive UV exposure might exhaust oxidative defence and repair systems differentially, dependent on genetic make-up. Further research is warranted to better understand skin cancer epidemiology and develop sun exposure recommendations. A genome-wide approach is recommended as it might uncover unknown disease pathways dependent on UV radiation.