Many studies have used Digital Phenotyping of Mental Health (DPMH) to complement classic methods of mental health assessment and monitoring. This research area proposes innovative methods that perform multimodal sensing of multiple situations of interest (e.g., sleep, physical activity, mobility) to health professionals. In this paper, we present a Systematic Literature Review (SLR) to recognize, characterize and analyze the state of the art on DPMH using multimodal sensing of multiple situations of interest to professionals. We searched for studies in six digital libraries, which resulted in 1865 retrieved published papers. Next, we performed a systematic process of selecting studies based on inclusion and exclusion criteria, which selected 59 studies for the data extraction phase. First, based on the analysis of the extracted data, we describe an overview of this field, then presenting characteristics of the selected studies, the main mental health topics targeted, the physical and virtual sensors used, and the identified situations of interest. Next, we outline answers to research questions, describing the context data sources used to detect situations, the DPMH workflow used for multimodal sensing of situations, and the application of DPMH solutions in the mental health assessment and monitoring process. In addition, we recognize trends presented by DPMH studies, such as the design of solutions for high-level information recognition, association of features with mental states/disorders, classification of mental states/disorders, and prediction of mental states/disorders. We also recognize the main open issues in this research area. Based on the results of this SLR, we conclude that despite the potential and continuous evolution for using these solutions as medical decision support tools, this research area needs more work to overcome technology and methodological rigor issues to adopt proposed solutions in real clinical settings.