The gut microbiota plays a fundamental role in human physiology by influencing metabolism, immunity, and neuroendocrine communication. Growing evidence suggests that physical exercise modulates gut microbial composition; however, study findings remain inconsistent due to variations in design, training type, and population characteristics. This review summarizes current research on how different forms, intensities, and frequencies of exercise shape the gut microbiota and discusses their implications for athlete health and performance. Moderate and sustained physical activity generally promotes higher microbial diversity, increases short-chain fatty acid (SCFA)-producing bacteria, and enhances gut barrier integrity. Endurance training, particularly long-term, is most consistently associated with beneficial microbial shifts, including increases in Prevotella, Akkermansia, and Faecalibacterium. In contrast, excessive or high-intensity endurance exercise was shown to cause dysbiosis, inflammation, and greater intestinal permeability. Resistance training appears to induce milder changes but was shown to improve mucin synthesis and butyrate production, especially in older adults. Exercise frequency also plays a role, with regular daily training enriching metabolic pathways linked to gut and systemic health. Overall, the impact of exercise on the gut microbiota depends on the type, intensity, and duration of activity. Balanced, moderate exercise combined with a healthy diet emerges as the most effective strategy to enhance microbial diversity, reduce inflammation, and support overall performance and well-being in athletes.