A system of linear forms $L=\{L_1,\ldots,L_m\}$ over $\mathbb{F}_q$ is said to be Sidorenko if the number of solutions to $L=0$ in any $A \subseteq \mathbb{F}_{q}^n$ is asymptotically as $n\to\infty$ at least the expected number of solutions in a random set of the same density. Work of Saad and Wolf (2017) and of Fox, Pham and Zhao (2019) fully characterises single equations with this property and both sets of authors ask about a characterisation of Sidorenko systems of equations. In this paper, we make progress towards this goal. Firstly, we find a simple necessary condition for a system to be Sidorenko, thus providing a rich family of non-Sidorenko systems. In the opposite direction, we find a large family of structured Sidorenko systems, by utilising the entropy method. We also make significant progress towards a full classification of systems of two equations.