Semaglutide (SEM), a long-acting glucagon-like peptide-1 receptor agonist, affects neural circuits regulating food intake and satiety, and it provides neuroprotective effects; however, SEM may influence psychological functioning, possibly leading to psychopathological symptoms. This review examines studies on SEM, focusing on its effects on mental health and potential neuropsychiatric side effects. A systematic search in PubMed and Google Scholar was conducted for studies up to March 2025, yielding 342 papers, of which 37 met the eligibility criteria. The selected studies included cohort studies, pharmacovigilance research, open-label studies, and randomized-controlled trials. Findings show that SEM is effective and well-tolerated in various psychiatric populations, with potential benefits in managing binge eating disorder (BED), metabolic disturbances in psychotic disorders, and alcohol use disorder; however, these drugs are also linked to depressive symptoms and suicidal ideation, alongside potential antidepressant effects, though this evidence is preliminary. SEM showed to be of great interest in the treatment of BED, acting not only on weight decrease but also on cognitive symptoms linked to the disease. Similar findings, though preliminary, have been observed for the treatment of alcohol and substance use disorder. The use of SEM in mood disorders, in particular depression, is still controversial.