Psychological capital (PsyCap) is a concept from organizational psychology that refers to the development of positive psychological states that motivate behavior. It comprising hope, self-efficacy, resilience, and optimism play a crucial role in enhancing well-being. The purpose of this review is to explore the relationship between PsyCap and mental health among undergraduate university students. A systematic review was conducted on the recent scientific production (i.e., published papers over the last 12 years) in Google Scholar, PubMed, Scopus, PsycINFO, and ScienceDirect. For this, it was used the following search terms: “psychological capital,” “mental health,” “hope,” “optimism,” “resilience,” “self-efficacy,” and “students” in the title, abstract, or keywords, all entered in a single search and connected by the Boolean operator “AND.” This study identified 219 articles in the scientific literature, but only 13 articles were classified as eligible according to the previously established criteria, highlighting the lack of studies that address the theme under investigation. The findings indicate that higher PsyCap levels are strongly associated with improved mental health outcomes, suggesting that interventions aimed at enhancing PsyCap may significantly benefit students’ mental well-being and overall life satisfaction.