The symbiotic relationship between sports practice and psychological well-being has, in recent times, surged to the forefront of academic and public attention. The aim of this narrative review is to comprehensively explore the intricate pathways linking physical engagement in sports to its subsequent impacts on mental health and synthesize the multifarious effects of sports on psychological health, offering insights for integrating physical and psychological strategies to enhance well-being. From neurobiological underpinnings to therapeutic applications, this comprehensive manuscript provides an in-depth dive into the multifaceted world of sports and psychology. Highlighting evidence-based interventions, this review aspires to offer actionable insights for practitioners, athletes, and individuals alike, advocating for a holistic approach to mental well-being. This manuscript highlights the profound impact of sports on mental health, emphasizing its role in emotional regulation, resilience, cognitive function, and treating psychological conditions. It details how sports induce neurochemical changes, enhance brain functions like memory and learning, and aid against cognitive decline. This review also notes the benefits of regular exercise in mood improvement, stress management, and social skill enhancement, particularly when combined with mindfulness practices. It underscores the importance of considering cultural and gender perspectives in sports psychology, advocating for an integrated physical–psychological approach to promote overall well-being.