Cross‐border electronic commerce (CBEC) was developed from traditional e‐commerce to cater to the growing demand for online transactions among global traders. Consumer behaviour is one of the most important topics that multistakeholders (e.g., e‐commerce platforms, entrepreneurs, governments and third‐party service providers) need to understand to develop CBEC. Although for over a decade studies across disciplines and regions have explored various consumer behaviours and their factors in CBEC through diverse research methods and theoretical lenses, the current literature is still fragmented and lacks consolidation of past contributions. In the present study, we conduct a systematic literature review based on 40 CBEC studies to present an overview of the current research status of the field. This study analyzes research contexts, theoretical applications and methods, and unifies a CBEC definition as a benchmark for future research. More importantly, we employ the Stimulus–Organism–Response (S–O–R) framework to categorize factors into the inner and outer CBEC ecosystem stimuli, cognitive and affective states, and approach and avoidance behaviours, and to generalize two consumer behavioural patterns to provide a comprehensive understanding of consumer behaviours in CBEC. With the proposed future research directions, we believe that this review can serve as a fundamental and informative guideline for researchers to continue advancing knowledge of the field.