Atrial fibrillation (AF) is the most common sustained cardiac arrhythmia, contributing to significant morbidity and mortality worldwide. The relationship between physical exercise and AF is complex, with studies showing both beneficial and potentially adverse effects. Moreover, evidence suggests a U-shaped association between exercise intensity and AF risk. Moderate exercise has been shown to reduce AF burden by improving cardiovascular risk factors, enhancing autonomic regulation, and mitigating atrial fibrosis. In contrast, excessively high-intensity endurance exercise may increase AF risk, particularly in young athletes, due to atrial stretching, dilation, fibrosis, autonomic imbalances, and heightened inflammation. The current guidelines emphasize exercise as a core lifestyle intervention for AF management, recommending moderate-intensity aerobic activity for optimal outcomes. This review examines the current evidence on the effects of exercise on AF, identifies knowledge gaps, and proposes potential future research directions.