Patients with Parkinson's disease experience disabling non-motor symptoms, including autonomic dysfunction, cognitive decline, and sleep disorders. Pharmacologic treatments for these symptoms are often ineffective or have intolerable side effects. Therefore, non-pharmacologic interventions are an attractive alternative. Exercise in particular has the potential to alleviate the progressive impairment related to these non-motor symptoms. In this commentary, we explore available research that addresses the impact of exercise and physical activity on autonomic dysfunction, cognitive impairment, and sleep disorders in Parkinson's disease and suggest areas in need of further study. Many gaps remain in our understanding of the most effective exercise intervention for these symptoms, the mechanisms underlying exercise-induced changes, and the best way to monitor response to therapy. However, available research suggests that exercise is a promising approach to improve non-motor symptoms in patients with Parkinson's disease.