Mental health applications hold great promise as interventions for addressing common mental issues. Although many people with mental health issues use mobile app interventions, their adherence level remains low. Low engagement affects the effectiveness of mobile interventions. However, there is still a dearth of research to explain the reasons for low engagement. User experience and usability are two factors that determine the adoption and usage of apps. Analyzing user reviews of mobile apps for mental health issues reveals user experience and what features users liked and disliked in the apps and hence informs future app design and refinements. This research aims to analyze user reviews of publicly available mental health applications to uncover their strengths, weaknesses, and gaps, hence revealing why users are likely to cease using these applications. We mined reviews of 106 mental health apps retrieved from Apple's App Store and Google Play and employed thematic analysis on 13,549 reviews. The review analysis shows that users placed more emphasis on the user interface and the user-friendliness of the app. Users also appreciated apps that present them with a variety of options, functionalities, and content that they can choose. Again, apps that offer adaptive functionalities that allow users to adapt some app features also received high ratings. In contrast, poor usability emerged as the most common reason for abandoning mental health apps. Other pitfalls include lack of a content variety, lack of personalization, lack of customer service and trust, and security and privacy issues.