Background: The human sensorimotor system can naturally synchronize with environmental rhythms, such as light pulses or sound beats. Several studies showed that different styles and tempos of music, or other rhythmic stimuli, have an impact on physiological rhythms, including electrocortical brain activity, heart rate, and motor coordination. Such synchronization, also known as the “entrainment effect”, has been identified as a crucial mechanism impacting cognitive, motor, and affective functioning. Objectives: This review examines theoretical and empirical contributions to the literature on entrainment, with a particular focus on the physiological mechanisms underlying this phenomenon and its role in cognitive, motor, and affective functions. We also address the inconsistent terminology used in the literature and evaluate the range of measurement approaches used to assess entrainment phenomena. Finally, we propose a definition of “physiological entrainment” that emphasizes its role as a fundamental mechanism that encompasses rhythmic interactions between the body and its environment, to support information processing across bodily systems and to sustain adaptive motor responses. Methods: We reviewed the recent literature through the lens of the “embodied cognition” framework, offering a unified perspective on the phenomenon of physiological entrainment. Results: Evidence from the current literature suggests that physiological entrainment produces measurable effects, especially on neural oscillations, heart rate variability, and motor synchronization. Eventually, such physiological changes can impact cognitive processing, affective functioning, and motor coordination. Conclusions: Physiological entrainment emerges as a fundamental mechanism underlying the mind–body connection. Entrainment-based interventions may be used to promote well-being by enhancing cognitive, motor, and affective functions, suggesting potential rehabilitative approaches to enhancing mental health.