The role of auditory information on perceptual-motor processes has gained increased interest in sports and psychology research in recent years. Numerous neurobiological and behavioral studies have demonstrated the close interaction between auditory and motor areas of the brain, and the importance of auditory information for movement execution, control, and learning. In applied research, artificially produced acoustic information and real-time auditory information have been implemented in sports and rehabilitation to improve motor performance in athletes, healthy individuals, and patients affected by neurological or movement disorders. However, this research is scattered both across time and scientific disciplines. The aim of this paper is to provide an overview about the interaction between movement and sound and review the current literature regarding the effect of natural movement sounds, movement sonification, and rhythmic auditory information in sports and motor rehabilitation. The focus here is threefold: firstly, we provide an overview of empirical studies using natural movement sounds and movement sonification in sports. Secondly, we review recent clinical and applied studies using rhythmic auditory information and sonification in rehabilitation, addressing in particular studies on Parkinson’s disease and stroke. Thirdly, we summarize current evidence regarding the cognitive mechanisms and neural correlates underlying the processing of auditory information during movement execution and its mental representation. The current state of knowledge here reviewed provides evidence of the feasibility and effectiveness of the application of auditory information to improve movement execution, control, and (re)learning in sports and motor rehabilitation. Findings also corroborate the critical role of auditory information in auditory-motor coupling during motor (re)learning and performance, suggesting that this area of clinical and applied research has a large potential that is yet to be fully explored.