Climate change is amongst the most serious issues nowadays. Climate change has become a concern for the scientific community as it could affect human health. Researchers have found that climate change potentially impacts human mental health, especially among depressive patients. However, the relationship is still unclear and needs further investigation. The purpose of this systematic review is to systematically evaluate the evidence of the association between climate change effects on depressive patients, investigate the effects of environmental exposure related to climate change on mental health outcomes for depressive patients, analyze the current technique used to determine the relationship, and provide the guidance for future research. Articles were identified by searching specified keywords in six electronic databases (Google Scholar, PubMed, Scopus, Springer, ScienceDirect, and IEEE Digital Library) from 2012 until 2021. Initially, 1823 articles were assessed based on inclusion criteria. After being analyzed, only 15 studies fit the eligibility criteria. The result from included studies showed that there appears to be strong evidence of the association of environmental exposure related to climate change in depressive patients. Temperature and air pollution are consistently associated with increased hospital admission of depressive patients; age and gender became the most frequently considered vulnerability factors. However, the current evidence is limited, and the output finding between each study is still varied and does not achieve a reasonable and mature conclusion regarding the relationship between the variables. Therefore, more evidence is needed in this domain study. Some variables might have complex patterns, and hard to identify the relationship. Thus, technique used to analyze the relationship should be strengthened to identify the relevant relationship.