Mental health in the construction industry has gained increasing attention in academic research. However, previous studies have largely focused on selective mental health issues, thus limiting a comprehensive understanding of the theoretical underpinnings in this field of study. This study presents a systematic review of previous studies on mental health in the construction industry, focusing on explanatory theories and identifying the cognitive and behavioral processes that affect mental health in the construction industry. A three-stage approach was employed to identify 163 relevant articles that met the inclusion criteria for the review. Following the grounded theory, this review synthesized theories and findings to develop a model explaining the cognitive and behavioral processes affecting mental health among construction workers. The review revealed that work and life demands and resources derived from strain theories and work–life balance theories had been the focus of previous research. Meanwhile, knowledge of coping mechanisms had generally been understudied. By integrating motivation and masculinity theories, the proposed model extends the understanding of coping mechanisms consisting of coping belief, coping motivation, and coping behavior, illustrating how masculine norms in the construction industry influence coping responses for mental health. The model lays a solid theoretical foundation for a comprehensive understanding of how cognitive and behavioral processes affect mental health in the construction industry, thus providing a valuable reference for future research. Theoretical and practical implications and future research directions are also discussed.