Objective: This study aims to explore the effects of exercise on gut microbiota and short-chain fatty acid (SCFA) metabolism, as well as its relationships with joint degeneration. Methods: To explore the impact of exercise on obesity-associated osteoarthritis (OA), rats were fed a high-fat/high-sucrose (HFS) diet with or without exercise. Histological staining and micro-computed tomography (micro-CT) were used to assess the effects of exercise on articular cartilage and subchondral bone. 16S rRNA sequencing and Gas Chromatography–Mass Spectrometry (GC-MS) were performed to analyze alteration in fecal gut microbiota and serum SCFAs. Results: Exercise prevented articular cartilage degeneration and subchondral bone loss in the HFS diet with exercise (HE) group compared to the HFS-diet control sedentary (HS) group. Gut microbiota analysis revealed that exercise reduced the relative abundances of families Lachnospiraceae, Ruminococcaceae, genera Ruminococcus, Colidextribacter, Caproiciproducens, and the unidentified genus of Lachnospiraceae, while increased the relative abundance of genus Akkermansia. Metabolomic analysis indicated exercise prevented AA reduction in the HE group. In addition, the level of AA was negatively correlated with OA severity and with the abundances of families Lachnospiraceae and Ruminococcaceae, genus Colidextribacter and the unidentified genus of Lachnospiraceae. Conclusions: Exercise effectively preserves the integrity of the cartilage–subchondral bone unit. The observed modifications in gut microbiota and AA levels following exercise intervention may be associated with the protective mechanisms against obesity-associated OA.