Daily walks are recommended for health gains, and walkable urban environments are recommended as one strategy to combat climate change. Evidence of the relationship between physical environments and psychological health is increasing. The aim of this study was to systematically review and compile evidence regarding micro-scale characteristics in urban outdoor environments that impacted pedestrian short-term experience and/or long-term psychological health. The databases ScienceDirect, Scopus, PubMed, PsychInfo, and Google Scholar were used. To explore the area, a large heterogeneity in publications was allowed; therefore, it was not possible to conduct a meta-analysis. From 63 publications, data items were extracted from full text and categorized according to the main study characteristics. Environmental characteristics impacting pedestrians psychologically were identified and categorized into themes: grey, green, blue, and white areas, and weather, temporalities, topography, person factors, and safety. Environmental factors were analyzed from the perspective of the circumplex model of human affect (negative/positive dimensions and activation/deactivation). The findings included the fact that urban pedestrians need both positively activating and deactivating (restorative) areas during walkabouts. Perceived safety is essential for experiencing the positive aspects of urban environments. Some characteristics interact differently or have different importance for health in different groups. To further develop research on pedestrian environments, psychological experiences should be included.