(1) Background: Psychological well-being (PWB) and female sexual health are two important areas for women’s quality of life and research, and they are closely related. The aim of this study was to conduct a systematic review of the existing literature to explore the association between PWB and sexual health in women. (2) Methods: This review was carried out following PRISMA. The inclusion criteria were studies with samples of adult women, that evaluated and associated sexual functioning and mental health. Scientific articles were identified on Web of Science, Scopus, EBSCO (PsycInfo, PsycArticles, and Psicodoc), ProQuest, and PubMed. The search was limited to years between 2010 and 2023. (3) Results: 14 selected articles were analyzed, in which population samples and variables related to mental and sexual health were examined. 42.9% of the studies included clinical samples, 71.4% focused on anxiety and depression as main mental health variables, and 50% examined female sexual functioning as a sexual health variable. (4) Conclusions: This review provides more up-to-date information about valuable insights into the possible determinants of female sexual health. The association between PWB and female sexual health has been demonstrated.