A plethora of studies on the prevalence of poor mental health have been undertaken in the general population. Nevertheless, an understanding of the prevalence of poor mental health in the context of high-risk settings, such as construction, is missing. This is noteworthy as poor mental health is widespread in this context. Given that over 100 million people work in construction on a global scale, a better understanding of the burden of poor mental health in construction is needed. To this end, a review on the prevalence of key mental health-related conditions in construction was undertaken. Through this review, over 1000 papers were identified through PubMed and Google Scholar. After applying inclusion and exclusion criteria, a final set of 19 documents were included. Results showed that anxiety and depressive disorders, as well as psychological distress, have a high burden in construction. Vulnerable population subgroups (e.g., women, minority ethnic groups) were identified. Construction is a high-risk setting and despite this, the burden of poor mental health in this context is not given the importance it deserves. This review sheds light on the prevalence of key conditions, which are linked to high humanistic and economic burden. This review provides a foundation and useful starting point for further investigations, and results from this review may be used to inform future research, workplace interventions, and policy.