Neurodegenerative diseases (NDs), such as Alzheimer’s disease (AD), Parkinson’s disease (PD), Huntington’s disease (HD), and amyotrophic lateral sclerosis (ALS), are disorders characterized by progressive degeneration of the nervous system. Currently, there is no disease-modifying treatments for most NDs. Meanwhile, numerous studies conducted on human and animal models over the past decades have showed that exercises had beneficial effects on NDs. Inter-tissue communication by myokine, a peptide produced and secreted by skeletal muscles during exercise, is thought to be an important underlying mechanism for the advantages. Here, we reviewed studies about the effects of myokines regulated by exercise on NDs and their mechanisms. Myokines could exert beneficial effects on NDs through a variety of regulatory mechanisms, including cell survival, neurogenesis, neuroinflammation, proteostasis, oxidative stress, and protein modification. Studies on exercise-induced myokines are expected to provide a novel strategy for treating NDs, for which there are no adequate treatments nowadays. To date, only a few myokines have been investigated for their effects on NDs and studies on mechanisms involved in them are in their infancy. Therefore, future studies are needed to discover more myokines and test their effects on NDs.