In recent years, ketogenic diets and ketone supplements have increased in popularity, particularly as a mechanism to improve exercise performance by modifying energetics. Since the skeletal muscle is a major metabolic and locomotory organ, it is important to take it into consideration when considering the effect of a dietary intervention, and the impact of physical activity on the body. The goal of this review is to summarize what is currently known and what still needs to be investigated concerning the relationship between ketone body metabolism and exercise, specifically in the skeletal muscle. Overall, it is clear that increased exposure to ketone bodies in combination with exercise can modify skeletal muscle metabolism, but whether this effect is beneficial or detrimental remains unclear and needs to be further interrogated before ketogenic diets or exogenous ketone supplementation can be recommended.