Objective: Depression, anxiety, and cognitive dysfunction are common complaints in men with prostate cancer (PCa) receiving androgen deprivation therapy (ADT). Consequently, the quality of life (QoL) of these men is negatively impacted. This systematic review evaluated the effectiveness of physical activity (PA) as an intervention to improve depression and anxiety symptoms, cognitive function, and QoL in patients receiving ADT for PCa. Methods: Inclusion criteria and search strategy were defined and documented in a protocol registered with the International Prospective Register of Systematic Reviews (Registration # CRD42012002666). Due to the limited number of studies examining these outcomes in this patient group, no limitations were placed on study designs included. A systematic search of Ovid MEDLINE, PsycINFO, EMBASE, Informit, Scopus, Cochrane Library, and CINAHL databases identified 7 relevant peer-reviewed studies: 4 clinical PA interventions, 2 pilot studies, and 1 cross-sectional survey. Data extraction and risk of bias assessment tools developed by the Cochrane Collaboration were used to evaluate evidence. Results: Existing data suggest that PA improved QoL in men with PCa receiving ADT. The existing evidence, however, is not sufficiently robust to determine the adequacy of PA as an intervention to improve depression, anxiety, and cognitive function outcomes in this patient group. Conclusions: Despite the lack of studies conducted, preliminary findings support the utility of PA for improving QoL in men undergoing ADT for PCa. A clear gap in the current literature was identified, confirming the need for further clinical trials in which depression, anxiety, and cognitive function are evaluated.