This paper presents a critical review of key ethical issues raised by the emergence of mental health chatbots. Chatbots use varying degrees of artificial intelligence and are increasingly deployed in many different domains including mental health. The technology may sometimes be beneficial, such as when it promotes access to mental health information and services. Yet, chatbots raise a variety of ethical concerns that are often magnified in people experiencing mental ill-health. These ethical challenges need to be appreciated and addressed throughout the technology pipeline. After identifying and examining four important ethical issues by means of a recognised ethical framework comprised of five key principles, the paper offers recommendations to guide chatbot designers, purveyers, researchers and mental health practitioners in the ethical creation and deployment of chatbots for mental health.