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Background: A comprehensive picture is lacking of the impact of early childhood (age 0–5) risk factors on the subsequent development of mental health symptoms. Objective: In this systematic review, we investigated which individual, social and urban factors, experienced in early childhood, contribute to the development of later anxiety and depression, behavioural problems, and internalising and externalising symptoms in youth. Methods: Embase, MEDLINE, Scopus, and PsycInfo were searched on the 5th of January 2022. Three additional databases were retrieved from a mega-systematic review source that focused on the identification of both risk and protective indicators for the onset and maintenance of prospective depressive, anxiety and substance use disorders. A total of 46,450 records were identified and screened in ASReview, an AI-aided systematic review tool. We included studies with experimental, quasi-experimental, prospective and longitudinal study designs, while studies that focused on biological and genetical factors, were excluded. Results: Twenty studies were included. The majority of studies explored individual-level risk factors (N = 16). Eleven studies also explored social risk factors and three studied urban risk factors. We found evidence for early predictors relating to later psychopathology measures (i.e., anxiety and depression, behavioural problems, and internalising and externalising symptoms) in childhood, adolescence and early adulthood. These were: parental psychopathology, exposure to parental physical and verbal violence and social and neighbourhood disadvantage. Conclusions: Very young children are exposed to a complex mix of risk factors, which operate at different levels and influence children at different time points. The urban environment appears to have an effect on psychopathology but it is understudied compared to individual-level factors. Moreover, we need more research exploring the interaction between individual, social and urban factors.