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Parkinson's disease (PD) is manifested by progressive motor, autonomic, and cognitive disturbances. Dopamine (DA) synthesizing neurons in the substantia nigra (SN) degenerate, causing a decline in DA level in the striatum that leads to the characteristic movement disorders. A disease-modifying therapy to arrest PD progression remains unattainable with current pharmacotherapies, most of which cause severe side effects and lose their efficacy with time. For this reason, there is a need to seek new therapies supporting the pharmacological treatment of PD. Motor therapy is recommended for pharmacologically treated PD patients as it alleviates the symptoms. Molecular mechanisms behind the beneficial effects of motor therapy are unknown, nor is it known whether such therapy may be neuroprotective in PD patients. Due to obvious limitations, human studies are unlikely to answer these questions; therefore, the use of animal models of PD seems indispensable. Motor therapy in animal models of PD characterized by the loss of dopaminergic neurons has neuroprotective and neuroregenerative effects, and the completeness of neuronal protection may depend on (i) degree of neuronal loss, (ii) duration and intensity of exercise, and (iii) time elapsed between insult and commencing of training. As the physical activity is neuroprotective for dopaminergic neurons, the question arises what is the mechanism of this protective action. A current hypothesis assumes a central role of neurotrophic factors in the neuroprotection of dopaminergic neurons, even though it is still not clear whether increased DA level in the nigrostriatal axis results from neurogenesis of dopaminergic neurons in the SN, recovery of the phenotype of dopaminergic neurons, increased sprouting of the residual dopaminergic axons in the striatum, or generation of local striatal neurons from inhibitory interneurons. In the present review, we discuss studies describing the influence of physical exercise on the PD-like changes manifested in animal models of the disease and focus our interest on the current state of knowledge on the mechanism of neuroprotection induced by physical activity as a supportive therapy in PD.