Health professionals (HPs), especially those working in the front line, have been one of the groups most affected by the COVID-19 pandemic. The objective of this study is to identify the best available scientific evidence on the impact of the COVID-19 pandemic on the mental health of out-of-hospital HPs in terms of stress, anxiety, depression, and self-efficacy. A living systematic review of the literature was designed, consulting the electronic online versions of the CINHAL, Cochrane Library, Cuiden, IBECS, JBI, LILACS, Medline PyscoDoc, PsycoINFO, Scopus, and Web of Science databases in November 2021. Original research was selected, published in either English, Spanish, French, Italian, or Portuguese. In total, 2082 publications were identified, of which 16 were included in this review. The mental health of out-of-hospital HPs was affected. Being a woman or having direct contact with patients showing suspicious signs of COVID-19 or confirmed cases were the factors related to a greater risk of developing high levels of stress and anxiety; in the case of depressive symptoms, it was having a clinical history of illnesses that could weaken their defenses against infection. Stopping unpleasant emotions and thoughts was the coping strategy most frequently used by these HPs.