Background: In recent decades, doctoral education has undergone a profound transformation. As a result, PhD students have become an increasingly vulnerable population, facing greater risk of mental health problems than the general population. A particularly important subgroup comprises PhD students in medicine and health sciences, who often combine doctoral training with clinical work. Their dual roles expose them to additional pressures, with an increased risk of burnout. Given that their context differs considerably from the typical university environment, in this systematic review, we aim to synthesize the current evidence on burnout, impostor syndrome, and research engagement, along with related indicators of psychological distress, among PhD students in medicine and health sciences, as well as identify key risk and protective factors and highlight gaps for future research. Methods: A systematic literature search was conducted in March 2026 across the Web of Science, Scopus, and Ovid MEDLINE databases. Following a screening process based on PRISMA guidelines, 27 studies were included; due to substantial heterogeneity, findings were synthesized narratively. Results: Psychological difficulties appeared to be more strongly associated with institutional factors rather than personal traits. Burnout was highly prevalent and linked to professional isolation and poor relationships with supervisors. Impostor syndrome emerged as a recurrent theme in qualitative accounts, though it was formally assessed with a validated instrument in only one study. Moreover, research engagement did not appear to protect students from burnout. Conclusion: Burnout and psychological distress are widespread among PhD students in medicine and health sciences, and impostor feelings emerged as a recurrent theme, although formally measured in only one study. These findings highlight the need for structural and institutional changes rather than relying solely on individual psychological support.