The urban environment has become the main place that people live and work. As a result it can have profound impacts on our health. While much of the literature has focused on physical health, less attention has been paid to the possible psychological impacts of the urban environment. In order to understand the potential relevance and importance of the urban environment to population mental health, we carried out a systematic review to examine the associations between objective measurements of the urban environment and psychological distress, independently of the individual's subjective perceptions of the urban environment. 11 peer-reviewed papers published in English between January 2000 and February 2012 were identified. All studies were cross-sectional. Despite heterogeneity in study design, the overall findings suggested that the urban environment has measurable associations with psychological distress, including housing with deck access, neighbourhood quality, the amount of green space, land-use mix, industry activity and traffic volume. The evidence supports the need for development of interventions to improve mental health through changing the urban environment. We also conclude that new methods for measuring the urban environment objectively are needed which are meaningful to planners. In particular, future work should look at the spatial-temporal dynamic of the urban environment measured in Geographical Information System (GIS) in relation to psychological distress.