OBJECTIVES: To identify the key methodological challenges for public health economic modelling and set an agenda for future research. METHODS: An iterative literature search identified papers describing methodological challenges for developing the structure of public health economic models. Additional multidisciplinary literature searches helped expand upon important ideas raised within the review. RESULTS: Fifteen articles were identified within the formal literature search, highlighting three key challenges: inclusion of non-healthcare costs and outcomes; inclusion of equity; and modelling complex systems and multi-component interventions. Based upon these and multidisciplinary searches about dynamic complexity, the social determinants of health, and models of human behaviour, six areas for future research were specified. CONCLUSIONS: Future research should focus on: the use of systems approaches within health economic modelling; approaches to assist the systematic consideration of the social determinants of health; methods for incorporating models of behaviour and social interactions; consideration of equity; and methodology to help modellers develop valid, credible and transparent public health economic model structures.