The COVID-19 pandemic has been raging around the world and public health measures such as lockdowns have forced people to go out less often, reducing sunlight exposure time, green space use, and physical activity. It is well known that exercise has a positive impact on mental health, but the impact of external environmental factors such as sunlight exposure and green space use on mental health has not been systematically reviewed. In this review, we categorized the major factors that may affect people’s mental health into (1) external environmental factors such as exposure to sunlight and green spaces, (2) internal life factors such as physical activity and lifestyle, and (3) mixed external and internal factors, and systematically examined the relationship between each factor and people’s mental health. The results showed that exposure to sunlight, spending leisure time in green spaces, and physical activity each had a positive impact on people’s mental health, including depression, anxiety, and stress states. Specifically, moderate physical activity in an external environment with sunlight exposure or green space was found to be an important factor. The study found that exposure to the natural environment through sunbathing and exercise is important for people’s mental health.