Traumatic brain injury (TBI) is a burdensome condition frequently associated with an increased risk of psychiatric disorders. Although the exact molecular signaling pathways have not yet been fully defined, the compromised integrity of functional brain networks in regions such as the prefrontal cortex and anterior cingulate cortex has been linked to persistent symptoms, including depression, fatigue, and sleep disorders. Understanding how TBI affects neural physiology enables the development of effective interventions. One such strategy may be physical exercise, which promotes neural repair and behavioral rehabilitation after TBI. However, there are caveats to consider when interpreting the effects of physical exercise on TBI-induced mental health issues. This review will highlight the main findings from the literature investigating how different physical exercise protocols affect the progression of TBI-induced depression, fatigue, and sleep disturbances. Furthermore, we aim to explore potential neurobiological pathways that explain how physical exercise influences depression, fatigue, and sleep following TBI.