Objective: The aim of this work is to investigate the impact of exercise on gut microbiome composition, serum metabolites, and their correlation with osteoarthritis (OA) severity. Methods: Thirty-six Sprague-Dawley (SD) rats were randomly divided into four groups: Sham rats without treadmill walking (Sham/Sed group, n = 9), Sham rats with treadmill walking 2 months (Sham/TW2M group, n = 9), PTOA rats without treadmill walking (PTOA/Sed group, n = 9), and PTOA rats with treadmill walking 2 months (PTOA/TW2M group, n = 9). The PTOA model was induced by transection of the anterior cruciate ligament (ACLT) and destabilization of the medial meniscus (DMM). Histological evaluation and micro-CT analysis were performed to observe the pathological changes in cartilage and subchondral bone, respectively. Additionally, we conducted 16S rDNA sequencing of fecal samples and untargeted metabolomic analysis using liquid chromatography–mass spectrometry (LC–MS) of serum samples to detect the alteration of gut microbiota composition and metabolites. Results: Exercise effectively mitigated OA-related pathological changes, including articular cartilage degeneration and subchondral bone loss. Moreover, 16S rDNA sequencing analysis of gut microbiome revealed a decreased abundance of Bacteroidetes (p < 0.01), Bacteroidia (p < 0.01), Rikenellaceae (p < 0.01), [Paraprevotellaceae] (p < 0.01), and Paraprevotella (p < 0.01) but an increase in Firmicutes (p < 0.01) in PTOA/TW2M group rats compared with PTOA/Sed group as a response to exercise. In addition, the results of metabolomics analysis showed that exercise treatment contributed to the upregulation of Daidzein and Anthranilic acid and downregulation of 1-Palmitoyllysophosphatidylcholine. Moreover, the correlation analysis showed that Rikenellaceae significantly positively correlated with both OARSI (r = 0.81, p < 0.01) and Mankin score (r = 0.83, p < 0.01) and negatively correlated with the serum level of Anthranilic acid (r = −0.56, p < 0.01) and Daidzein (r = −0.46, p < 0.01). Conclusions: Exercise can effectively mitigate OA through slowing down articular cartilage degeneration and subchondral bone loss, modulating gut microbiota composition, and increasing beneficial metabolites.