Physical activity (PA) is suggested to have a protective effect against depression. One way of engaging in PA is through active commuting. This review summarises the literature regarding the relationship between active commuting and depression among adults and older adults. A systematic review of studies published up to December 2019, performed in accordance with the Preferred Reporting Items for Systematic Reviews and Meta-Analysis guidelines, was conducted using three databases (PubMed, Scopus, and Web of Science). A total of seven articles were identified as relevant. The results from these studies were inconsistent. Only two presented a significant relationship between active commuting and depression symptoms. In those two studies, switching to more active modes of travel and walking long distances were negatively related to the likelihood of developing new depressive symptoms. In the other five studies, no significant association between active travel or active commuting and depression was found. The relationship between active commuting and depression symptoms in adults is not clear. More studies on this topic are necessary in order to understand if active commuting can be used as a public health strategy to tackle mental health issues such as depression.