Physical activity (PA) and quality sleep are essential for cognitive health, providing synergistic protection against age-related cognitive decline. However, the shared molecular pathways that explain their combined and interactive benefits remain poorly understood. This review suggests that lactate, long dismissed as a metabolic waste product, is a unifying mechanism. We introduce the “Lactate Nexus”, a conceptual framework that proposes lactate functions as a key signalling molecule, mechanistically linking the pro-cognitive effects of both daytime exercise and nighttime sleep. We begin by outlining lactate’s evolving role—from an energy substrate shuttled from astrocytes to neurons (the Astrocyte–Neuron Lactate Shuttle) to a pleiotropic signal. As a signal, lactate influences neuroplasticity via NMDA receptors, neuroinflammation via the HCAR1 receptor, and gene expression through the epigenetic modification of histone lactylation. We then compile evidence demonstrating how PA provides a substantial lactate signal that activates these pathways and primes the brain’s metabolic infrastructure. Crucially, we integrate this with proof that lactate levels naturally increase during slow-wave sleep to support memory consolidation and glymphatic clearance. The “Lactate Nexus” framework offers a comprehensive molecular explanation for the synergy between PA and sleep, positioning lactate as a key signalling mediator and a promising biomarker and therapeutic target for fostering lifelong cognitive resilience.