The comorbidity of sarcopenia and cognitive impairment constitutes a degenerative syndrome that progresses significantly with age. It has emerged as a critical global health challenge, contributing to functional disability, reduced quality of life, and increased pressure on public healthcare systems. This comorbidity is characterized by a synergistic decline in both physical and cognitive capabilities, manifesting as reduced skeletal muscle mass, diminished muscle strength, impaired physical function, and progressive deterioration in cognitive domains such as memory, executive function, and information processing speed. This dual degeneration not only creates a vicious cycle where each condition exacerbates the other but also substantially increases the risk of falls, fractures, hospitalization, and mortality among older adults. Against the backdrop of rapid global population aging, the prevalence of this comorbidity is anticipated to rise further without effective interventions. Consequently, investigating its underlying mechanisms and developing preventive and therapeutic strategies hold substantial clinical and public health significance. Current evidence indicates that the pathogenesis involves multi-system and multi-level pathophysiological processes, with chronic inflammation, mitochondrial dysfunction, and gut microbiota dysbiosis, identified as three core interacting mechanisms. Age-related chronic low-grade inflammation, termed inflammaging, arises from the senescence-associated secretory phenotype (SASP) and persistent immune cell activation. This inflammatory state inhibits the intramuscular IGF-1/Akt/mTOR anabolic pathway through proinflammatory cytokines (e.g., IL-6, TNF-α), while simultaneously activating protein degradation systems including the ubiquitin-proteasome system (UPS) and autophagy-lysosomal pathway (ALP), ultimately leading to accelerated protein breakdown and muscle atrophy. These circulating inflammatory factors can also compromise blood-brain barrier integrity, activate microglia, trigger neuroinflammation, and consequently damage synaptic structures and neuronal function, thereby accelerating cognitive decline in this comorbidity. Mitochondrial dysfunction presents as impaired oxidative phosphorylation efficiency, excessive reactive oxygen species (ROS) production, and dysregulated mitochondrial quality control. This not only results in inadequate cellular energy supply but also enables mitochondrial-derived factors (e.g., extracellular mtDNA) to activate innate immune pathways such as cGAS-STING, propagating stress signals and amplifying tissue damage in both muscle and brain. Additionally, gut microbiota dysbiosis impairs intestinal barrier function, increases lipopolysaccharide (LPS) translocation into circulation, and reduces short-chain fatty acid (SCFA) production. These changes induce systemic inflammation and metabolic disturbances that further impact muscle metabolism and promote pathological protein accumulation in the brain, thereby establishing a gut-brain-muscle axis that exacerbates the progression of this comorbidity. Exerkines represent a class of biologically active signaling molecules—including cytokines, peptides, metabolites, and exosomes—secreted by various tissues in response to exercise. These exerkines mediate systemic adaptations and protective effects through endocrine and paracrine actions on target organs. Key exerkines such as IL-6, irisin, brain-derived neurotrophic factor (BDNF), insulin-like growth factor-1 (IGF-1), fibroblast growth factor-21 (FGF-21), lactate, and cathepsin B (CTSB) play central roles in coordinately ameliorating the comorbidity of sarcopenia and cognitive impairment. The beneficial effects of these exerkines are mediated through multiple mechanisms including inflammation modulation, energy metabolism remodeling, neuroprotection, and enhanced neuroplasticity. As a non-pharmacological intervention, exercise effectively stimulates the production and release of exerkines, thereby targeting the comorbidity through multiple pathways. Aerobic exercise elevates lactate levels and activates the Sirt1/PGC-1α pathway, improving cerebral metabolism and cognitive function. Resistance training significantly upregulates IGF-1, irisin, and CTSB expression, enhancing muscle anabolism and hippocampal function. Other modalities like high-intensity interval training (HIIT) and traditional practices also help modulate inflammatory status and optimize the neurotrophic environment through the action of various exerkines. Different exercise types work synergistically by engaging distinct signaling pathways and exerkine combinations, collectively alleviating chronic inflammation, correcting mitochondrial dysfunction, and optimizing gut microecology to achieve concurrent musculoskeletal and cognitive protection against this comorbidity. Synthesizing current evidence, this review emphasizes the necessity of transcending a single-organ perspective by recognizing muscle and brain as an integrated functional unit, with exerkines playing a pivotal role in the muscle-brain axis. The field nevertheless faces several challenges: the secretion dynamics of exerkines during aging remain unclear, mechanisms underlying individual differences in exercise response require elucidation, and the compensatory and imbalance characteristics of exercise-induced exerkine networks across disease stages need further characterization. Future research should employ large-sample cohorts and randomized controlled trials integrated with multi-omics technologies to establish personalized exercise interventions based on exerkine profiling for managing this comorbidity. Parallel efforts should focus on developing quantifiable efficacy assessment systems to provide robust theoretical foundation and practical guidance for precise management of the comorbidity of sarcopenia and cognitive impairment and the promotion of healthy aging.