Mapping brain-behaviour associations is paramount to understand and treat psychiatric disorders. Standard approaches involve investigating the association between one brain and one behavioural variable (univariate) or multiple variables against one brain/behaviour feature ('single' multivariate). Recently, large multimodal datasets have propelled a new wave of studies that leverage on 'doubly' multivariate approaches capable of parsing the multifaceted nature of both brain and behaviour simultaneously. Within this movement, canonical correlation analysis (CCA) and partial least squares (PLS) emerge as the most popular techniques. Both seek to capture shared information between brain and behaviour in the form of latent variables. We provide an overview of these methods, review the literature in psychiatric disorders, and discuss the main challenges from a predictive modelling perspective. We identified 39 studies across four diagnostic groups: attention deficit and hyperactive disorder (ADHD, k = 4, N = 569), autism spectrum disorders (ASD, k = 6, N = 1731), major depressive disorder (MDD, k = 5, N = 938), psychosis spectrum disorders (PSD, k = 13, N = 1150) and one transdiagnostic group (TD, k = 11, N = 5731). Most studies (67%) used CCA and focused on the association between either brain morphology, resting-state functional connectivity or fractional anisotropy against symptoms and/or cognition. There were three main findings. First, most diagnoses shared a link between clinical/cognitive symptoms and two brain measures, namely frontal morphology/brain activity and white matter association fibres (tracts between cortical areas in the same hemisphere). Second, typically less investigated behavioural variables in multivariate models such as physical health (e.g., BMI, drug use) and clinical history (e.g., childhood trauma) were identified as important features. Finally, most studies were at risk of bias due to low sample size/feature ratio and/or in-sample testing only. We highlight the importance of carefully mitigating these sources of bias with an exemplar application of CCA.