A growing body of research is exploring the potential added health benefits of exercise when performed outdoors in nature versus indoors. This systematic review aimed to compare the effects of exercise in outdoor environments versus indoor environments on psychological health, physical health, and physical activity behaviour. We searched nine databases from inception to March 2021 for English language, peer-reviewed articles: MEDLINE, Embase, PubMed, Scopus, Web of Science, CINAHL, SportsDiscus, GreenFile, and CENTRAL. We included randomized and non-randomized trials that compared multiple bouts of exercise in outdoor versus indoor environments, and that assessed at least one outcome related to physical health, psychological health, or physical activity behaviour. Due to minimal outcome overlap and a paucity of studies, we performed a narrative synthesis. We identified 10 eligible trials, including 7 randomized controlled trials, and a total of 343 participants. Participant demographics, exercise protocols, and outcomes varied widely. In the 10 eligible studies, a total of 99 comparisons were made between outdoor and indoor exercise; all 25 statistically significant comparisons favoured outdoor exercise. Interpretation of findings was hindered by an overall high risk of bias, unclear reporting, and high outcome heterogeneity. There is limited evidence for added health or behaviour benefits of outdoor exercise versus indoor exercise. Rigorous randomized controlled trials are needed with larger samples and clear reporting.