Increasing evidence supports the importance of the gut microbiota (GM) in regulating multiple functions related to host physical health and, more recently, through the gut–brain axis (GBA), mental health. Similarly, the literature on the impact of physical activity (PA), including exercise, on GM and GBA is growing. Therefore, this narrative review summarizes and critically appraises the existing literature that delves into the benefits or adverse effects produced by PA on physical and mental health status through modifications of the GM, highlighting differences and similarities between preclinical and human studies. The same exercise in animal models, whether performed voluntarily or forced, has different effects on the GM, just as, in humans, intense endurance exercise can have a negative influence. In humans and animals, only aerobic PA seems able to modify the composition of the GM, whereas cardiovascular fitness appears related to specific microbial taxa or metabolites that promote a state of physical health. The PA favors bacterial strains that can promote physical performance and that can induce beneficial changes in the brain. Currently, it seems useful to prioritize aerobic activities at a moderate and not prolonged intensity. There may be greater benefits if PA is undertaken from a young age and the effects on the GM seem to gradually disappear when the activity is stopped. The PA produces modifications in the GM that can mediate and induce mental health benefits.