In Germany, large, population-based cohort studies have been implemented in order to identify risk and protective factors for maintaining health across the life span. The purpose of this systematic review is to analyse findings from three large ongoing cohorts and to identify sex-specific prevalence rates, risk and protective factors for mental health. Published studies from the Cooperative Health Research in the Region Augsburg (KORA), the Study of Health in Pomerania (SHIP) and the Gutenberg Health Study (GHS)), representing the southern, north-eastern and middle parts of Germany, were identified through searches of the databases PubMed and Web of Science. A total of 52 articles was identified from the start of each cohort until June 2019. Articles reporting prevalence rates of mental health [N = 22], explanatory factors for mental health [N = 25], or both [N = 5] were identified. Consistent across cohorts, higher prevalence rates of internalizing disorders were found for women and more externalizing disorders for men. Risk and protective factors for mental health included social factors, lifestyle, physical health, body mass index (BMI), diabetes, genetic and biological factors. In all areas, differences and similarities were found between women and men. The most evident were the sex-specific risk profiles for depression with mostly external risk factors for men and internal risk factors for women. Gender was not assessed directly, therefore we examined whether socioeconomic and family-related factors reflecting gender roles or institutionalized gender could be used as a proxy for gender. Overall, this systematic review shows differences and similarities in prevalence rates and determinants of mental health indicators between women and men. They underline the importance of focussing on sex specific approaches in mental health research and in the development of prevention measures. Current research on mental health still lacks focus on gender aspects. Therefore, an increased focus on sex and gender in mental health research is of great importance.