Context: Continuous integration (CI) is a software engineering technique that proclaims a set of frequent activities to assure the health of the software product. Researchers and practitioners mention several benefits related to CI. However, no systematic study surveys state of the art regarding such benefits or cons. Objective: This study aims to identify and interpret empirical evidence regarding how CI impacts software development. Method: Through a Systematic Literature Review, we search for studies in six digital libraries. Starting from 479 studies, we select 101 empirical studies that evaluate CI for any software development activity (e.g., testing). We thoroughly read and extract information regarding (i) CI environment, (ii) findings related to effects of CI, and (iii) the employed methodology. We apply a thematic synthesis to group and summarize the findings. Results: Existing research has explored the positive effects of CI, such as better cooperation, or negative effects, such as adding technical and process challenges. From our thematic synthesis, we identify six themes: development activities, software process, quality assurance, integration patterns, issues & defects, and build patterns. Conclusions: Empirical research in CI has been increasing over recent years. We found that much of the existing research reveals that CI brings positive effects to the software development phenomena. However, CI may also bring technical challenges to software development teams. Despite the overall positive outlook regarding CI, we still find room for improvements in the existing empirical research that evaluates the effects of CI.