Background: The coronavirus disease 2019 (COVID-19) pandemic has caused the cancellation or postponement of virtually every sporting event, resulting in training disruptions, income loss, and career uncertainties for athletes around the world. At present, the effect of the COVID-19 pandemic on the mental and emotional health of athletes is not well understood. Purpose: To investigate the effect of the COVID-19 pandemic on the mental and emotional health of athletes and to identify risk factors associated with poor mental health outcomes. Study Design: Systematic review; Level of evidence, 4. Methods: The PubMed, Embase, and Cochrane Library databases were searched to identify all articles reporting on athletes’ mental and emotional health during the COVID-19 pandemic. Articles were selected based on relevant inclusion and exclusion criteria. Study characteristics, athlete demographics, and COVID-19 mental health data (sex-, type of sport—, and level of play—specific differences) were collected from each included article and analyzed. Results: A total of 35 studies were included in the final analysis, comprising athletes around the world and across numerous sports and levels of play. Most studies utilized at least 1 validated mental health questionnaire and assessed for outcomes such as depression, anxiety, stress, motivation, and athletic identity. Overall, athletes reported worse mental and emotional health during the COVID-19 pandemic, although these effects were attenuated by home training programs and quarantine training camps. Female sex and more elite levels of play were associated with an increased risk for poor mental health outcomes. Type of sport was associated with mixed results, with individual and team sports carrying different increased risks for poor mental and emotional health. Nearly all studies recommended the need for increased psychological support of athletes during the COVID-19 pandemic. Conclusion: The effect of the COVID-19 pandemic on the mental and emotional health of athletes is complex and multifaceted. Increased social interactions with coaches and teammates, continued access to training facilities and mental health professionals, and active utilization of healthy coping mechanisms can improve mental health outcomes for athletes in the era of COVID-19.