(1) Background: Review-based studies are required to consider the different designs and data that describe the association between physical activity and mental health for underprivileged children and adolescents. There is a particular need to identify mechanisms which could explain the association, and factors which influence the association in this population group. (2) Methods: An integrative review with a systematic search was conducted in three stages: (i) a systematic literature search on four databases from inception until May 2020. Studies were eligible if they examined underprivileged children, involved moderate to vigorous physical activity (MVPA) and had a focus on at least one outcome measure related to mental health. (ii) Two critical appraisal tools were used to assess quality across different study designs. (iii) Synthesis was undertaken in four stages, examining social, internal and physical outcomes and mechanisms. (3) Results: A total of 16 studies were included (2 qualitative; 12 quantitative and 2 mixed methods). Fifteen (15/16; 93.8%) showed an association between MVPA and a significant improvement in at least one mental health outcome. The most studied outcomes included: internal aspects (n = 14), significant effects were identified in 12/14 studies; social aspects (n = 6), significant effects were identified across all studies and finally physical aspects (n = 5), significant effects were found in 3/5 studies. Autonomy support was identified as a mechanism to explain the change, whilst age and gender influenced the strength of the association. (4) Conclusions: The findings provide confirmation of the link between MVPA and the improved mental health and wellbeing of disadvantaged children and adolescents. Future research must consider the long-term effect through longitudinal studies, along with determining whether any specific types of PA are more impactful than others.