Evidence suggesting the triangulation of the endocannabinoid system, exercise, and neurological health is emerging. In addition to the endocannabinoids -arachidonoylethanolamine (anandamide; AEA) and 2-arachidonoylglycerol (2-AG), the expanded endocannabinoid system, known as the endocannabinoidome (eCBome), appears to be an important player in this relationship. The eCBome includes several endocannabinoid-like mediators such as -acylethanolamines and 2-monoacylglycerols, the enzymes involved in their biosynthesis and degradation, and the receptors they affect. This review aims to relate the functional interactions between aerobic exercise, and the molecular and cellular pathways related to endocannabinoids, in the hypothalamus, hippocampus, and the periphery, with special attention given to associations with emotional state, cognition, and mental health. Given the well-documented roles of many eCBome members in regulating stress and neurological processes, we posit that the eCBome is an important effector of exercise-induced central and peripheral adaptive mechanisms that benefit mental health. Gut microbiota imbalance, affecting the gut-brain axis and metabolism, also influences certain eCBome-modulated inflammation pathways. The integrity of the gut microbiota could thus be crucial in the onset of neuroinflammation and mental conditions. Further studies on how the modulation by exercise of the peripheral eCBome affects brain functions could reveal to be key elements in the prevention and treatment of neuropsychological disorders.