The aim of this study was to identify evidence regarding associations between School Physical Activity (PA) and Mental Health (MH) in Brazilian school-aged adolescents. This is a systematic review study. Studies were selected in Portuguese and English and identified by a systematic search in six electronic databases: PubMed, Web of Science, SPORTDiscus / Ebsco, ScIELO, ERIC, and LILACS, which comprised publications until 2019. Inclusion criteria were: studies with cohort, descriptive, cross-sectional or qualitative design; performed with children and adolescents; studies that analyzed the relationship between PA and MH; studies that investigated adolescents who practiced PA in schools; studies carried out in Brazil; and studies that reached minimum of 60% of methodological quality criteria according to STROBE. Physical education, as curricular activity in basic education, has protective effect on MH in the school setting. In addition, more than 300 min/week of PA was positively associated with MH; while associations between PA and excessive TV time; social isolation; and body weight dissatisfaction were negatively associated. School PA is positively associated with MH as it promotes physical and psychological well-being, impacting on the reduction of insomnia rates, attenuating loneliness and improving physical appearance.