Physical activity has been demonstrated to have a significant impact on gut microbial diversity and function. Emerging research has revealed certain aspects of the complex interactions between the gut, exercise, microbiota, and neurodegenerative diseases, suggesting that changes in gut microbial diversity and metabolic function may have an impact on the onset and progression of neurological conditions. This study aimed to review the current literature from several databases until 1 June 2023 (PubMed/MEDLINE, Web of Science, and Google Scholar) on the interplay between the gut, physical exercise, microbiota, and neurodegeneration. We summarized the roles of exercise and gut microbiota on neurodegeneration and identified the ways in which these are all connected. The gut–brain axis is a complex and multifaceted network that has gained considerable attention in recent years. Research indicates that gut microbiota plays vital roles in metabolic shifts during physiological or pathophysiological conditions in neurodegenerative diseases; therefore, they are closely related to maintaining overall health and well-being. Similarly, exercise has shown positive effects on brain health and cognitive function, which may reduce/delay the onset of severe neurological disorders. Exercise has been associated with various neurochemical changes, including alterations in cortisol levels, increased production of endorphins, endocannabinoids like anandamide, as well as higher levels of serotonin and dopamine. These changes have been linked to mood improvements, enhanced sleep quality, better motor control, and cognitive enhancements resulting from exercise-induced effects. However, further clinical research is necessary to evaluate changes in bacteria taxa along with age- and sex-based differences.