Despite the growing problem of anxiety and depression amongst young people aged 14-24 years living in urban settings, reviews about the role of exposure to green and blue spaces or nature in preventing anxiety and depression tend to focus on children, adults or sometimes adolescents. This review aims to explore whether exposure to green and blue spaces reduces the risk of anxiety and depression among young people aged 14-24 years living in urban settings and provide a conceptual framework. The academic databases CINAHL plus, Global Health, MEDLINE, ProQuest: Dissertations and Theses, PsycINFO, Scopus and OpenGrey were searched for research published in English between January 2000 and June 2020. All study designs were eligible. All included studies were assessed for quality. Searches identified 9208 sources with 48 meeting the inclusion criteria for the review. Experimental studies provided evidence that walking or being in a green space improves mood and state anxiety immediately following the intervention. Non-randomised evaluations and observational studies suggest that social interaction, physical activity, and mindfulness mediate the relationship between exposure to green space and mental health. We propose that the absence of noise and restorative qualities of green spaces promotes mindfulness and interrupt rumination, which in turn reduce the risk of anxiety disorders and depression. This review and the resulting conceptual framework provide evidence to healthcare professionals about the value of contact with nature and green social prescribing. For policymakers, it provides evidence about the value of bringing the benefits of forests, vegetation and nature into cities, and ensuring that these spaces are accessible and safe for young people to use.