Dual careers (DCs) are challenging trajectories followed by athletes willing to develop their academic/professional career with their athletic careers. These trajectories usually entail additional stressors, which can decrease athletes' mental health or even increase their risk of mental ill‐health. While existing research has recognized the importance of psychological and social factors in both of these areas separately, we lack systematic knowledge on which factors are associated with European DC athlete mental health outcomes, making evidence‐based practice more challenging. In this regard, to advance the European DC tradition and to provide a strong base for researchers and practitioners working within this field, this systematic review aims to appraise this evidence identifying and categorizing the psychological and social factors associated with the European DC athletes' mental health. We conducted this review according to Preferred Reporting for Systematic Reviews and Meta‐Analysis guidelines and performed the systematic search in six databases, finding 56 eligible articles. Our analysis identified 35 different psychological and social factors, most showing significant associations with athletes' mental health. Notably, affect, stress, motivational climate, mindfulness, resilience, perfectionism, goal orientation, motivation, and basic psychological need satisfaction showed the strongest evidence associated with mental health. Overall, this review provides a comprehensive synthesis of psychological and social factors, advancing the holistic ecological approach in dual careers and athlete mental health. Yet, our results highlight the need to strengthen the evidence regarding these factors and provide specific research avenues, such as focus on DC‐specific factors and consideration of DC athlete definition and career trajectories.