BACKGROUND: The health benefits of physical activity (PA) have been well documented in the literature. The relationship between PA and psychological well-being (PWB) has received increasing attention. AIM: This study aimed to systematically review the measurement of PWB in PA studies and examine the major findings of these studies. METHODS: We conducted a systematic search in PubMed/Medline, Web of Science, PsycINFO, and SportDiscus for articles published from their inception to October 2018 to identify empirical studies that investigated the relationship between PA and PWB. For each study meeting the inclusion criteria, we identified its measure for PWB and reviewed its main findings. RESULTS: The literature search identified 53 studies examining the relationship between PA and PWB and 48 measurement scales for assessing various domains of PWB. The measurement scales were further classified as measures of hedonic well-being (n = 11), eudaimonic well-being (n = 10), mental ill-being (n = 18), or multifaceted well-being (n = 9). Twenty-seven out of 29 observational studies and nineteen out of 24 intervention studies found favorable associations between PA and at least one domain of PWB. CONCLUSIONS: Although the findings in the empirical studies generally support a positive relationship between PA and PWB, the specific psychological domains measured in these studies vary considerably. In addition, the definition of PWB in these studies is incomplete and unclear. Future studies are suggested to choose measurement scales based on a clear and theoretically based definition of PWB and focus more on hedonic well-being and eudaimonic well-being.