Background/Objectives: Early detection of fall risk is crucial for targeted fall prevention and rehabilitation. This systematic review facilitates decision-making concerning the optimal choice for a suitable fall risk assessment test for older persons in four different settings. This systematic review provides an overview of reliability and diagnostic accuracy (sensitivity [SE], specificity, likelihood ratios, and post-test probabilities) of commonly used performance measures to assess older persons’ fall risk. Methods: Two reviewers independently screened titles, abstracts, and full texts of all articles identified through a systematic search on the PubMed, Embase, CINAHL, and Web of Science databases. The methodological quality was critically appraised using the Quality Assessment of Diagnostic Accuracy Studies-2 tool and the COSMIN risk of bias tool. Due to a setting-dependent fall risk, four relevant settings were selected for the analyses: 1) community dwelling, 2) nursing home, 3) hospital, and 4) the combined setting of hospitalized and community-dwelling persons. Results: Recommendations for diagnostic accuracy can be made for the specific settings: setting 1) mini-balance evaluation system test, timed up and go test with fast speed (TUG FAST), cognitive TUG FAST, functional reach test, and fast gait speed; 2) TUG at usual speed; 3) none of the included tests; and 4) some hip muscle strength and hand grip strength tests might be recommended. Conclusion: The review’s results are applicable for use in clinical practice, both on a population and on an individual level for patients and caregivers. Most measures’ reliability is sufficient. However, the included tests’ discriminative ability is not optimal for clinical use in relevant settings. The low sample sizes of most of the included studies and a limited amount of studies in all but the community-dwelling setting hinder us from making strong recommendations.