The World Health Organization (WHO) recognizes that health and well-being are essential to achieving the United Nations (UN) Development Agenda 2030, which includes the goal of empowering people to adopt active lifestyles while protecting the planet’s health. This article aims at exploring how exercise performed in different natural settings can contribute to improving health and to a more sustainable world. We define “exercise” as a form of physical activity undertaken to increase fitness, health, and well-being, and argue for the importance of “green” and “blue” exercise as forms of physical activity that are associated with the protection and sustainability of natural settings and the promotion of planetary health. Blue and green exercise should become a focus of public policies, especially when outdoor activities are being identified as fundamental for the promotion of mental, physical, social, and spiritual health. The current paper intends to raise the awareness of political decision-makers and professionals in education, environment, and heath sectors for the potential of green and blue exercise as specific exercise practices that are healthy, joyful, and environmentally friendly.