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Applied machine learning (ML) has not yet coalesced on standard practices for research ethics. For ML that predicts mental illness using social media data, ambiguous ethical standards can impact peoples’ lives because of the area’s sensitivity and material con- sequences on health. Transparency of current ethics practices in research is important to document decision-making and improve research practice. We present a systematic literature review of 129 studies that predict mental illness using social media data and ML, and the ethics disclosures they make in research publications. Rates of disclosure are going up over time, but this trend is slow moving – it will take another eight years for the average paper to have coverage on 75% of studied ethics categories. Certain practices are more readily adopted, or "stickier", over time, though we found pri- oritization of data-driven disclosures rather than human-centered. These inconsistently reported ethical considerations indicate a gap between what ML ethicists believe ought to be and what actually is done. We advocate for closing this gap through increased trans- parency of practice and formal mechanisms to support disclosure.