The outbreak and spread of novel coronavirus disease (COVID-19) in 2019 was a public health emergency of global concern. As an important health behavior, physical activity (PA) and its impact on mental health have been increasingly explored during the epidemic period. The keywords and references were searched on PubMed, Web of Science, Scopus, Cochrane Library, EBSCO, and CNKI since the inception of an electronic bibliographic database until October 2021. A total of 2979 articles were identified, of which 23 were eligible for inclusion to examine the relationship between PA and mental health during the COVID-19 epidemic. Residents with regular PA, high-intensity PA, and PA duration of 30–60 min or more per day were associated with a lower risk of anxiety, depression, and negative emotions. In contrast, residents with no exercise and physical inactivity were more likely to have anxiety, depression, sleep disturbances, and lower subjective well-being. In addition, the dose–response curve between PA and negative emotions indicated a U-shaped relationship, and there were urban–rural differences in the relationship between emotional status and the levels of PA in adolescents. The findings have significant implications for addressing mental health issues during the current pandemic and future pandemics. Future studies adopting an experimental study design, conducting objective PA measures, and focusing on the vulnerable subpopulations are warranted to further explore the association of PA on mental health during the COVID-19 pandemic.