Physical activity has been recognized as an essential element for the health and well-being of children and adolescents. Therefore, this systematic review delves into the study of the relationship between extracurricular physical activity (PA) academic achievement (AA), and its alignment with the Sustainable Development Goals (SDGs) among students aged 3–16 years. This systematic review was guided by adhering to PRISMA guidelines. The review included studies that evaluated PA as an independent variable and its impact on academic performance (AP) through mediation models, structural equations, and multiple regression analyses. The key mediators identified between PA and AA include cognitive function, psychological well-being, and social factors. Cognitive self-regulation, attention, memory, self-efficacy, and self-esteem are key mediators between PA and AA as well as sleep patterns and a healthy lifestyle. In conclusion, extracurricular PA significantly influenced AA, and its influence was mediated by various cognitive, psychological, and social factors. These results support the inclusion and promotion of PA in educational settings, which aligns with the Sustainable Development Goals by improving AA and overall student well-being.