The aim of this study was to identify a best practice method to cost the health benefits of active transport for use in infrastructure planning in New South Wales, Australia. We systematically reviewed the international literature covering the concept areas of active transport and cost and health benefits. Original publications describing a method to cost the health benefits of active transport, published in 2000–2019 were included. Studies meeting the inclusion criteria were assessed against criteria identified in interviews with key government stakeholders. A total of 2993 studies were identified, 53 were assessed for eligibility, and 19 were included in the review. The most commonly studied active transport modes were cycling (n = 8) and walking and cycling (n = 6). Exposures considered were physical activity, road transport related injuries and air pollution. The most often applied economic evaluation method was cost benefit analysis (n = 8), and costs were commonly calculated by monetising health outcomes. Based on evaluation of models against the criteria, a Multistate Life Table model was recommended as the best method currently available. There is strong and increasing interest in quantifying and costing the health benefits of active transport internationally. Incorporating health-related economic benefits into existing regulatory processes such as cost benefit analyses could provide an effective way to encourage the non-health sector to include health impacts in infrastructure measures.