The purpose of this study is to conduct a systematic review and comprehensive analysis of the most recent research findings on the impact of online risky activities on adolescents’ mental health at home and abroad, revealing that online risk exposure is becoming an increasingly important potential threat to contemporary adolescents’ mental health that must not be overlooked. Using lifestyle exposure theory and cognitive-motivational correlation theory of emotion, this study investigates how online risk exposure affects teenagers’ mental health via the complex pathways of cognitive processing, emotional reaction, and social interaction. Based on ecosystem theory’s complete perspective, this study provides a multidimensional protection strategy framework with the goal of developing a comprehensive and multilevel protection system for teenagers’ online mental health. In this way, we can create an online “clear sky” for adolescents and promote their overall healthy development.