Long coronavirus disease 19 (COVID-19) is the designation given to a novel syndrome that develops within a few months after infection by severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) and that is presenting with increasing incidence because of the numerous cases of infection. Long COVID-19 is characterized by a sequela of clinical symptoms that concern different organs and tissues, from nervous, respiratory, gastrointestinal, and renal systems to skeletal muscle and cardiovascular apparatus. The main common molecular cause for all long COVID-19 facets appears to be related to immune dysregulations, the persistence of inflammatory status, epigenetic modifications, and alterations of neurotrophin release. The prevention and management of long COVID-19 are still inappropriate because many aspects need further clarification. Exercise is known to exert a deep action on molecular dysfunctions elicited by long COVID-19 depending on training intensity, duration, and continuity. Evidence suggests that it could improve the quality of life of long COVID-19 patients. This review explores the main clinical features and the known molecular mechanisms underlying long COVID-19 in the perspective of considering exercise as a co-medication in long COVID-19 management.