Context: The mental health benefits of physical activity are well established. However, less is known about whether the relationship between physical activity and mental health is consistent across different life domains. It is important to understand how context may influence the relationship between physical activity and mental health so that interventions and policy guidelines can be tailored to maximize positive effects. Evidence acquisition: In 2015, systematic searches of four databases identified 13,435 records, of which 98 studies met the inclusion criteria. Evidence synthesis: Included studies were published between 1988 and 2015 and had a combined sample size of 648,726. Of the 98 included studies, 93 examined leisure-time physical activity, 14 examined work-related physical activity, 15 examined transport physical activity, 16 examined household physical activity, three examined school sport, and three examined physical education. Multi-level meta-analyses showed that leisure-time physical activity (r =0.13) and transport physical activity (r =0.13) both had a positive association with mental health. Leisure-time physical activity (r = -0.11) and school sport (r = -0.09) both had an inverse association with mental ill-health. However, physical activity was not consistently associated with lower mental ill-health across domains, as work-related physical activity was positively associated with mental ill-health (r =0.09). Household physical activity and participation in physical education had no relationship with mental health or mental ill-health. Conclusions: The domain in which physical activity occurs influences the relationship between physical activity and mental health and should, therefore, be considered when developing interventions, treatment programs, and policy guidelines.