COVID-19 was declared a pandemic in March 2020, resulting in many countries worldwide calling for lockdowns. This study aimed to review the existing literature on the effects of the lockdown measures established as a response to the COVID-19 pandemic on the mental health of children and adolescents. Embase, Ovid, Global Health, PsycINFO, Web of Science, and pre-print databases were searched in this PRISMA-compliant systematic review (PROSPERO: CRD42021225604). We included individual studies reporting on a wide range of mental health outcomes, including risk and protective factors, conducted in children and adolescents (aged <= 19 years), exposed to COVID-19 lockdown. Data extraction and quality appraisal were conducted by independent researchers, and results were synthesised by core themes. 61 articles with 54,999 children and adolescents were included (mean age = 11.3 years, 49.7% female). Anxiety symptoms and depression symptoms were common in the included studies and ranged 1.8-49.5% and 2.2-63.8%, respectively. Irritability (range = 16.7-73.2%) and anger (range = 30.0-51.3%), were also frequently reported by children and adolescents. Special needs and the presence of mental disorders before the lockdown, alongside excessive media exposure, were significant risk factors for anxiety. Parent-child communication was protective for anxiety and depression. The COVID-19 lockdown has resulted in psychological distress and highlighted vulnerable groups such as those with previous or current mental health difficulties. Supporting the mental health needs of children and adolescents at risk is key. Clinical guidelines to alleviate the negative effects of COVID-19 lockdown and public health strategies to support this population need to be developed.