(1) Background: Psychological well-being (PWB) and female sexual health are two important areas for women’s quality of life and research, and they are closely related. The aim of this study was to conduct a systematic review of the existing literature to explore the association between PWB and sexual health in women. (2) Methods: This review was carried out following the PRISMA checklist. The inclusion criteria were studies with samples of adult women that evaluated and associated sexual functioning and psychological well-being. Scientific articles were identified on Web of Science, Scopus, EBSCO (PsycInfo, PsycArticles, and Psicodoc), ProQuest, and PubMed. The search was limited to years between 2010 and 2023. The methodological quality of the studies was assessed using the Quality Assessment Tool for Observational Cohort and Cross-Sectional Studies (QATOCCS). (3) Results: 14 selected articles were analyzed, in which population samples and variables related to psychological and sexual health were examined. In total, 42.9% of the studies included clinical samples, 71.4% focused on anxiety and depression as the main psychological variables, and 50% examined female sexual functioning as a sexual health variable. (4) Conclusions: This review provides more up-to-date information about valuable insights into the possible determinants of female sexual health. An association between PWB and female sexual health has been demonstrated.