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The benefits of nature for our health have been an increasing research focus in recent years. In the context of a global increase in mental health diagnoses, the potential health benefits of nature have attracted attention. One practical nature treatment is to walk in nature. However, evidence for this practice on mental health has not been comprehensively appraised to date. This systematic review synthesized the effects of nature walks for depression and anxiety, and evaluated the methodological rigor of studies. Academic databases including ProQuest, PsycINFO, Science Direct, and Google Scholar were utilized to identify eligible articles, which were examined using the Newcastle–Ottawa Scale. Of 385 articles initially retrieved, 12 studies met all the eligibility criteria (nine pre-post within-subject studies, two quasi-experimental studies, and one experimental between-subjects study). These studies demonstrated that nature walks were effective for state anxiety but not generalized anxiety and the effects for depression were inconsistent. Findings indicate that nature walks may be effective for mental health, especially for reducing state anxiety. However, the quality of the included studies varied, and sample sizes were small, suggesting a need for more rigorous and large-scale research.