This systematic review aims to summarise current evidence on the association between early life mental health and alcohol use behaviours in adulthood. Peer-reviewed publications were located by searching EMBASE, Medline, PsycINFO, and the ISI Web of Science up to 31 October 2018. Prospective longitudinal studies reporting associations between externalising problems (EXT), internalising problems (INT), depression, anxiety before age 18, and alcohol use behaviours (alcohol consumption, heavy/problematic drinking, alcohol use disorder) after age 18 were included. After screening 17259 articles, 36 articles met the inclusion criteria. Information extracted included strength of associations, age when mental health and alcohol use behaviours were measured, sex differences in the association, and other sample characteristics. 103 tests in 23 articles were identified on the externalising domain and 135 tests in 26 articles on the internalising domain. 37 out of 103 tests reported positive associations between EXT and alcohol use behaviours. The likelihood of observing positive associations was higher for more severe alcohol use outcomes, but this trend disappeared among high-quality studies. Findings on associations between internalising domain and alcohol use varied across their subtypes. INT tended to be negatively associated with alcohol consumption but positively associated with more severe outcomes (heavy/problematic drinking, alcohol use disorder). Depression tended to be positively associated with alcohol outcomes, while no clear association between anxiety and alcohol outcomes was evident. Variation of the association across developmental timing, sex, culture, historical period was explored where appropriate. Great heterogeneity in the current literature calls for greater attention to view the relationship developmentally.