Exercise plays a crucial role in maintaining metabolic health, enhancing muscle function, and improving insulin sensitivity, thereby preventing metabolic diseases such as type 2 diabetes. Emerging evidence highlights the significance of the cystathionine γ-lyase (CSE)/hydrogen sulfide (HS) signaling pathway as a pivotal regulator in the molecular and physiological adaptations induced by exercise. This review comprehensively examines the biosynthesis and metabolism of HS, its distribution in different muscle tissues, and the mechanisms by which CSE/HS influences muscle contraction, repair, and protein synthesis. Additionally, it explores how CSE/HS modulates insulin signaling pathways, glucose uptake, and lipid metabolism, thereby enhancing insulin sensitivity. The potential of HS donors as exercise supplements is also discussed, highlighting their ability to improve exercise performance and metabolic health. Current research advancements, including the application of multi-omics approaches, are reviewed to provide a deeper understanding of the complex molecular networks involved. Furthermore, the challenges and future directions in CSE/HS research are addressed, emphasizing the need for further mechanistic studies and clinical applications. This review underscores the therapeutic potential of targeting the CSE/HS pathway to optimize the benefits of exercise and improve metabolic health.