Purpose: We investigated if (a) people with lower physical activity have an increased risk of subsequent mental disorders (compared to those with higher physical activity); and (b) people with mental disorders have reduced subsequent physical activity (compared to those without mental disorders). Methods: A systematic review of population-based longitudinal studies examining physical activity and mental disorders was conducted. Mental disorders were defined by International Classification of Diseases or Diagnostic and Statistical Manual of Mental Disorders. The results were described in a narrative summary. Results: Twenty-two studies were included. The majority (19) examined mood disorders and physical activity. Only two studies found consistent association between lower physical activity and a reduced risk of subsequent mental disorders. One study found the bidirectional association between physical activity and major depression. Twelve studies found mixed results (i.e., no consistency in direction and significance of the findings), and seven studies found no association between the variables of interest. Conclusions: There is a lack of consistent evidence linking physical activity to be either a risk factor or consequence of mental disorders.