Abstract Citizen trust in regulatory agencies is essential for the functioning of society and markets. Trust in regulatory agencies promotes compliance and strengthens trust in regulated sectors. Despite its importance, there is no systematic study on how trust is in this context can be measured best. In response, this article presents findings of a systematic review of measures of trust in regulatory contexts, assessing their utility for measuring citizen trust in regulatory agencies. Our review of recent literature and of seven major international surveys finds several areas for methodological improvement in the measurement of such trust. The review highlights that while trust in various institutions is extensively studied, high‐quality measures for regulatory agencies specifically are lacking. Both one‐off studies of trust in regulatory agencies and large international surveys of trust in government reveal an absence of systematic and consistent measurement of trust in these agencies. We propose recommendations to enhance measurement consistency, transparency, and contextual diversity. This study underscores the urgency of addressing this critical dimension of trust and provides a roadmap for improving our understanding of citizen trust in regulatory agencies.