Children who carry out physical activity and sport are likely to have better social skills, self-esteem, confidence and academic achievement, researchers say.
A link to friendship, peer acceptance, anxiety, stress, cognitive functioning and attention/concentration was also found, while cardio-metabolic health, muscular strength, bone health and cardio-respiratory fitness are also positively affected.
The evidence review is published as part of a campaign to encourage school children to carry out 10-minute bursts of moderate to vigorous activity, inspired by Disney characters, throughout the day - and every day.
The Change4Life 10 Minute Shake Up campaign aims to address concerns that most children are not doing enough exercise, with recent figures showing that just 21% of boys and 16% of girls currently carry out the recommended 60 minutes of physical activity a day.
The review saw researchers from the University of Oxford and Loughborough University analyse previous studies to identify the direct benefits that physical activity has on children in terms of their physical, social and emotional development.
One of the authors, Professor Charlie Foster of the University of Oxford, said: "The positives of exercise on children's mental well-being are less well known than the physical benefits.
"The evidence showed a strong link between physically active children and improved self-esteem, confidence, attention span and even academic achievements."
Professor Kevin Fenton, national director of health and well-being at Public Health England (PHE), said: "Levels of childhood obesity are unacceptably high - currently one in five primary school children is overweight or obese.
"This latest review reinforces the essential health and well-being benefits of being physically active. Breaking up the 60 minutes of physical activity that children need each day into 10-minute bursts will be more appealing and manageable for children and parents alike."
Public health minister Jane Ellison said: "Exercise is really important for children, and it's vital that we encourage them to form healthy habits to last throughout their life.
"The 10 Minute Shake Up programme is great for introducing children to manageable, bite-size chunks of activity - and, best of all, it's fun. With the summer holidays coming up, it's ideal for parents and children to get active together."