The purpose of this review was to synthesize evidence on the associations of physical activity, sedentary time, and fitness with stress, depression, and anxiety in post-secondary students. We conducted a systematic review of the literature and searched four databases from 2000 to 2016. In total, 1942 articles were screened, 22 were critically appraised, and five had low or moderate risk of bias; all were cross-sectional studies. Articles were critically appraised using the modified Hoy tool to assess risk of bias criteria for cross-sectional studies. Only studies with low or moderate risk of bias were included for analysis. We synthesized evidence from studies with low or moderate risk of bias using best-evidence synthesis. Based on the two low risk of bias studies, there is inconsistent evidence regarding the association between self-reported physical activity levels and depressive symptoms. Among American university students using tobacco, the odds of depressive symptoms was 0.65 (95% CI: 0.45, 0.92) for every 1-unit (log transformed) increase in exercise level. However, the second study found no statistically significant correlations between measures of physical activity and either depression or anxiety scores. Among the moderate risk of bias studies, meeting vigorous intensity physical activity guidelines was associated with lower odds of reporting poor mental health (OR: 0.80; 95% CI 0.72, 0.96) and perceived stress (OR: 0.77; 95% CI 0.69, 0.87), lower odds of having higher depressive symptoms (OR = 0.59; 95% CI 0.42, 0.82), and had higher odds of reporting depressive symptoms “some” (OR: 1.35; 95% CI: 1.17–1.54), and “more than a good bit of the time” (OR: 1.72; 95% CI: 1.47–2.01). Importantly, this review highlights a lack of strong evidence available in post-secondary students. Longitudinal research is needed to better understand the temporal association between sedentary time, physical activity, and fitness with stress, depression and anxiety in this population.