Abstract Objectives The transition from childhood to adulthood is complex and presents challenges to young people’s mental health. Mental health impacts and is impacted by a range of contextual and personal factors. Adolescence and young adulthood also coincide with increased experimentation with sex, sexuality and substance use. Addressing the mental health, sexual health and substance-use challenges experienced by young people therefore necessitates an understanding of how these elements relate to one another. By collecting and analysing existing literature, this review aims to identify associations between young people’s mental health and sexual health, their mental health and substance use and any resulting gaps-in-knowledge. Content Seven electronic databases were searched between March and May 2021 and updated in May 2022 with terms collated under the categories of “young people”, “mental health”, “sexual health” and “substance use”. English-language articles, presenting data from the UK & Ireland, on young people aged 16–24 years inclusive were screened and subjected to a selection process in accordance with PRISMA guidelines (preregistered on PROSPERO, ref. number CRD42021245096). The quality of the resulting articles were assessed using the Mixed Methods Appraisal Tool (MMAT) and findings were tabulated through a data extraction process. Summary 27 articles were included in the review. Various mental health indices such as depression, anxiety, self-harm, psychotic-like experiences, hypomanic symptoms and binge-purge type eating disorders were found to be associated with higher use of substances such as alcohol, cannabis, ecstasy and generalised drug use. Additionally, mental health indices such as depression, anxiety and self-harm were found to be associated with sex before age 16 and/or unprotected sex at age 16, positive Chlamydia infection and higher levels of sexual activity at a younger age. Overall, cross-sectional associations were stronger than the longitudinal associations presented in the articles. Outlook This review into the specific relations between young people’s mental health, sexual health and substance use has revealed the complex and bi-directional nature of these associations, with some conditions and substances having been more extensively investigated (e.g., alcohol and depression/anxiety) as opposed to the relations between young people’s sexual health and mental health which is lacking in the UK and Irish context. The findings can help inform mental health related policies and service provisions targeted at young people in the UK and Ireland. Areas for future work are suggested.