Background: Sports injuries in children and adolescents may affect physical health, emotional well-being, sleep, quality of life, confidence, participation, and readiness to return to sport. Objective: This systematic review aimed to synthesize evidence on the relationship between sports-related injuries and mental health in athletes aged 19 years or younger, considering both psychological factors associated with injury vulnerability and psychosocial outcomes following injury. Methods: The review followed PRISMA 2020 guidelines. PubMed, Web of Science, Scopus, and Google Scholar were searched from inception to July 2026. Methodological quality was assessed using Joanna Briggs Institute tools, and findings were synthesized narratively. Results: Twenty-one studies were included. Lower psychological well-being, anxiety, stress, fatigue, sleep disturbance, kinesiophobia, and reduced psychological readiness were associated with injury occurrence, symptom burden, recovery, or reinjury. Conversely, sports injuries were associated with anxiety, depressive symptoms, sleep problems, reduced health-related quality of life, lower confidence, altered participation, identity disruption, and difficulties returning to sport. Conclusions: The findings support a potentially bidirectional and biopsychosocial relationship between sports injury and mental health, although heterogeneity and predominantly observational designs limit causal inference.