Sports mega-events, such as the Olympic and Paralympic Games, have the potential to inspire increases in population physical activity, yet investigations concerning such legacy outcomes have been inconclusive. This may be due to research design limitations or inconsistent leveraging of potential hosting benefits by event organizers. This systematic review aims to identify current knowledge about the capacity of sports mega-events to inspire increases in physical activity participation among adult populations and develop a research agenda to guide future legacy evaluations. Peer-reviewed, English-language studies published on or after the year 2000 were considered. Six academic databases and grey literature sources were searched, and articles were assessed for methodological quality. Reporting followed PRISMA conventions for systematic reviews. Nine studies were selected after quality evaluation, including previous reviews, quantitative and qualitative research. Most studies found no evidence for long-term physical activity outcomes associated with hosting sports mega-events, although limitations and gaps were identified. These included lack of longitudinal or cohort studies, limited differentiation of subpopulations, use of non-validated instruments, and lack of triangulation for qualitative findings. Only one cohort study from Japan identified sustainable and significant physical activity increases resulting from a previous sports mega-event. Considering theory, the commonly cited Demonstration Effect was reportedly an unreliable framework, although the Festival Effect and Social Ecological Model appear more promising for anticipating and explaining legacy effects. With less than two years until the Tokyo 2020 Olympiad, it is appropriate to commence high-quality legacy research drawing on lessons learned from previous studies.