As life expectancy has increased, particularly in developed countries, due to medical advances and increased prosperity, age-related neurological diseases and mental health disorders have become more prevalent health issues, reducing the well-being and quality of life of sufferers and their families. In recent decades, due to reduced work-related levels of physical activity, and key research insights, prescribing adequate exercise has become an innovative strategy to prevent or delay the onset of these pathologies and has been demonstrated to have therapeutic benefits when used as a sole or combination treatment. Recent evidence suggests that the beneficial effects of exercise on the brain are related to several underlying mechanisms related to muscle-brain, liver-brain and gut-brain crosstalk. Therefore, this review aims to summarize the most relevant current knowledge of the impact of exercise on mood disorders and neurodegenerative diseases, and to highlight the established and potential underlying mechanisms involved in exercise-brain communication and their benefits for physiology and brain function.