Objective: To evaluate the association between health behaviors with mental health among tertiary education students. Methods: Six databases were searched until September 2021 for prospective cohort studies evaluating the association between health behavior(s) (dietary intake, physical activity, sedentary behavior, alcohol intake, sleep, smoking or illicit drug use) and mental health. Two independent reviewers screened records for inclusion, extracted data and completed risk of bias assessments. Results: 33 studies were included (14 assessed sleep, 14 alcohol intake, 13 physical activity, 8 smoking, 6 sedentary behavior, 4 diet, 1 illicit drug use). A consistent association between poor sleep, and physical inactivity with increased risk of poor psychological wellbeing, and between poor sleep and increased mental ill-health related outcomes was demonstrated. Conclusion: Findings suggest interventions to address poor sleep and physical inactivity among students may positively impact mental health. Further research of other health behaviors, and their association with mental health, is required.