Psychiatric Advance Directives (PADs) are documents that allow users with severe and chronic mental illnesses to notify their treatment preferences for future crisis relapses and to appoint a surrogate decision‐maker for a period of incompetence. Despite many supposed clinical and organisational benefits, their take‐up rate has remained very low and their clinical evaluation has given contradictory results for organisational outcomes. Intermediary results are available, however, which rely on different theoretical views about how PADs are supposed to work. We carried out a realist systematic review that considered the PAD as a multistage intervention including the definition of the document, its completion and its access and honouring. We identified the theoretical frameworks underlying this kind of intervention and examined the available evidence that supported or contradicted the expectations at each stage of the intervention. Forty‐seven references were retrieved, ranging from 1996 to 2009. Three frameworks underlie a PAD intervention: enhancement of the autonomy of the user, improvement of the therapeutic alliance and integration of care through partnership working. Although designed in the first place with a view to sustaining the user’s autonomy, results indicate that the intervention is more efficient within a therapeutic alliance framework. Moreover, much is known about the completion process and the content of the document, but very little about its access and honouring. The mixture of expectations makes the purpose of PADs unclear, for example, crisis relapse prevention or management, advance planning of long‐term or emergency care, or reduction in the resort to coercion. This may explain their low take‐up rates. Hence, frameworks and purpose have to be clarified. The shape of the whole intervention at each stage relies on such clarification. More research is needed, particularly on the later stages of the intervention, as the evidence for how PADs should be implemented is still incomplete.