The construction industry has a lamentable reputation for having a high prevalence of suicides and mental health (MH) problems. Several government and academic reports have identified that construction workers are at a far higher risk of MH disorders than workers in other industrial sectors. While studies on construction workers’ MH have significantly increased in recent years, a systematic review of the potential causes of MH problems in the industry has hitherto eluded construction researchers. This study fills this ominous knowledge gap by conducting a realist systematic review of the literature published since 2003. The review conducted adopts the psychological safety climate model of PSC-12 to create a comprehensive list of MH causation (sourced from a rich literature synthesis) as a precursor to developing a theoretical model that identifies MH causations affecting distinct psychological safety climates within the industry. Emergent findings identify 43 MH causation factors with high job demand as the most significant contributor, followed by interpersonal relationships, low job control, low job support and physical status. In addition, it is found that organisation participation factors have been the major areas of focus, while management commitment and management priority are under-researched areas. Moreover, research gaps within the four dimensions of the PCS-12 model were explored to distinguish new potential research areas to address the knowledge gaps observed. In practical terms, the study collates and presents a comprehensive theoretical model of MH causations, providing a concise source of practical knowledge for practitioners.