Background: Late adolescence and emerging adulthood is an important period for the onset of mental health problems and significant declines in physical activity (PA). While the relationship between PA and mental health is fairly established, results from previous reviews and meta-analyses are largely based on studies with other populations. We conducted a systematic review of 22 studies to examine the relationship between PA and specific mental health outcomes of anxiety, depressive symptoms, and perceived stress during late adolescence/emerging adulthood. Methods: Studies were selected if they included: (a) intervention/measure of PA; (b) outcome(s) of depressive symptoms, anxiety, or perceived stress; (c) mean sample age of 15-25; (d) non-clinical populations; and (e) longitudinal/experimental design. Results: Studies included: 8 acute PA interventions, 12 longer-term PA interventions, and two with an observational design. Quality assessment indicated 10 studies were of poor quality, 10 moderate, and two strong. Results found 83% (10/12) of studies examining depressive symptoms, 57% (8/14) anxiety, and 50% (3/6) perceived stress had a significant inverse relationship between PA and mental health outcome, meaning higher levels of PA or the PA intervention were associated with lower levels of depression, anxiety, and perceived stress. Conclusions: Findings from this review are encouraging but not unequivocal. While PA appears to have a positive impact on depressive symptoms, the role of PA on anxiety and perceived stress are less clear. Future high quality studies, particularly with observational designs, are needed to better understand the impact of PA on mental health outcomes during this broader transition period.