Physical activity has established mental and physical health benefits, but related adverse events have not received attention. The purpose of this paper was to review the documented adverse events occurring from physical activity participation among individuals with psychological or cognitive conditions. Literature was identified through electronic database (e.g., MEDLINE, psychINFO) searching. Studies were eligible if they described a published paper examining the effect of changes on physical activity behaviour, included a diagnosed population with a cognitive or psychological disorder, and reported on the presence or absence of adverse events. Quality of included studies was assessed, and the analyses examined the overall evidence by available subcategories. Forty trials passed the eligibility criteria; these were grouped (not mutually exclusively) by dementia (n = 5), depression (n = 10), anxiety disorders (n = 12), eating disorders (n = 4), psychotic disorders (n = 4), and intellectual disability (n = 15). All studies displayed a possible risk of bias, ranging from moderate to high. The results showed a relatively low prevalence of adverse events. Populations with dementia, psychological disorders, or intellectual disability do not report considerable or consequential adverse events from physical activity independent of associated comorbidities. The one exception to these findings may be Down syndrome populations with atlantoaxial instability; in these cases, additional caution may be required during screening for physical activity. This review, however, highlights the relative paucity of the reported presence or absence of adverse events, and finds that many studies are at high risk of bias toward reporting naturally occurring adverse events.