People with autism spectrum disorder (ASD) are thought to be at disproportionate risk of developing mental health comorbidities, with anxiety and depression being considered most prominent amongst these. Non-invasive therapeutic approaches such as physical activity can have benefits to mitigate some of these symptoms. However, there is no rigorous review of PA effectiveness for mental health of autistic people. The present systematic review aims to examine the effect of physical activity on depression and anxiety in people with autism spectrum disorder. A search of the following electronic databases was conducted to extract relevant articles: PubMed, Scopus, the Web of Science, and Google Scholar. The search was performed using the following search terms with all the conceivable combinations utilizing "OR" and "AND" within the abovementioned databases; "autism", "autism spectrum disorder", "ASD", "physical activity", "PA", "exercise", "anxiety" and "depression". In the initial search, 2714 articles were found, which 1978 duplicate articles were removed. In the second part of screening, based on the inclusion criteria, 726 articles unrelated to the subject were also excluded from the scope of the review, and finally, based on the standard principles and the title of the present study, the current study was done with 10 articles. Results have shown that PA has positive effects on mental health disorders like depression and anxiety and a physical activity program could decrease PHQ-9 scores of depressions and the level of anger. In general, the results of this review revealed that physical active (PA) can positively affect some mental health characteristics like anxiety and depression in people with autism disorder.