Background: Anxiety and depression are global mental health issues, affecting approximately one-third of the population and imposing substantial economic and social burdens. Physical exercise, mainly walking, has been recognized as an effective non-pharmacological intervention that significantly improves symptoms of depression and anxiety. However, the benefits of walking in different environments require further investigation. Objective: This review aims to delve into the impact of walking in natural versus urban environments on levels of depression and anxiety. Outcome measures will include scales assessing the degree of depression and anxiety, as well as heart rate responses. Methods: A search was conducted across five databases-PubMed, Web of Science (all databases), Medline, Central, and Embase-from their inception to January 11, 2025. The quality of the literature was assessed using the GRADE scale, and all included study data were statistically analyzed using Stata software. Results: A total of 10 studies, encompassing 457 participants, were included to evaluate the differences between walking in urban and natural environments. Meta-analysis results indicated that walking in natural environments significantly reduced levels of anxiety (SMD=1.30, p = 0.000), depression (SMD=1.11, p = 0.000), and heart rate changes (SMD=0.48, p = 0.000) and in contrast, walking in urban environments slightly increased levels of anxiety (SMD=-0.65, p = 0.000), with no significant impact on depression (SMD=-0.13, p = 0.106) and heart rate changes (SMD=-0.13,p = 0.379). Conclusion: Walking in natural settings has a positive effect on reducing levels of depression and anxiety and slowing heart rate, while urban walking does not demonstrate similar benefits and may even have adverse effects on anxiety levels.