Background/Objectives: The human gut microbiome is a complex ecosystem of microorganisms that can influence our health and exercise habits. On the other hand, physical exercise can also impact our microbiome, affecting our health. Our narrative review examines the bidirectional relationship between physical activity and the gut microbiome, as well as the potential for targeted probiotic regimens to enhance sports performance. Methods: We conducted a comprehensive literature review to select articles published up till January 2024 on the topics of physical exercise, sports, probiotics, and gut microbiota from major scientific databases, incorporating over 100 studies. Results: We found that the impact of physical activity on the gut microbiome varies with the type and intensity of exercise. Moderate exercise promotes a healthy immune system, while high-intensity exercise for a long duration can cause a leaky gut and consequent systemic inflammation, which may disrupt the microbial balance. Combining aerobic and resistance training significantly affects bacterial diversity, linked to a lower prevalence of chronic metabolic disorders. Furthermore, exercise enhances gut microbiome diversity, increases SCFA production, improves nutrient utilization, and modulates neural and hormonal pathways, improving gut barrier integrity. Our findings also showed probiotic supplementation is associated with decreased inflammation, enhanced sports performance, and fewer gastrointestinal disturbances, suggesting that the relationship between the gut microbiome and physical activity is mutually influential. Conclusions: The bidirectional relationship between physical activity and the gut microbiome is exemplified by how exercise can promote beneficial bacteria while a healthy gut microbiome can potentially enhance exercise ability through various mechanisms. These findings underscore the importance of adding potential tailored exercise regimens and probiotic supplementation that consider individual microbiome profiles into exercise programs.