Building and infrastructure construction projects can be viewed as a complex system consisting of many subsystems. Over the last two decades, considerable researches that use system dynamics (SD) as an analytical and modeling approach exist to address construction project management issues. However, only few critical reviews have been conducted to provide an in-depth understanding of SD application in construction project management. Moreover, many studies have failed to apply SD accurately. Therefore, the present study aims to gain an understanding of the current state of play and future directions in applying SD method in construction project management research, by undertaking a comprehensive review of 105 relevant articles published from 1994 to 2018. These articles are analyzed in terms of annual publication rate, key papers and their contribution, critical issues in SD application, and research topics. A significant increase in the number of publications in the last five years has been observed. When applying SD method to model construction system, the following aspects must be carefully considered: Model boundary, model development, model test, and model simulation. In addition, SD has been applied in a wide range of research topics, including (1) sustainable construction; (2) design error, rework, and change management; (3) risk management; (4) resource management; (5) decision making; (6) hybrid modeling; (7) safety management; (8) PPP project; and (9) organization performance. Based on the review findings, this study discusses three future research directions, namely, integration of SD with other methods, uncertainty analysis, and human factor analysis. This study can help researchers gain an in-depth understanding of the critical issues in the application of SD in construction management and the state-of-the-art of SD research.