The effect of physical exercise on nutrition has gained substantial interest in the last decade. Meaningful results have been produced concerning the effect of physical exercise on different appetite hormones and food choice/preference. While it is well known that taste and nutrition are related, the relation between taste and physical activity has not yet been fully explored. This systematic review aims to provide a detailed view of the literature on physical exercise and its effect on taste perceptions. Five tastes were included in this review: sweet, salty, bitter, sour, and umami. Sweet taste intensity, sensitivity, and preference were increased by acute physical exercise, but sweet preference was reduced by chronic physical activity. Perceived intensity and sensitivity decreased overall for salty taste, but an increased preference was noted during/following exercise. Sour taste intensity ratings were decreased following exercise and preference was enhanced. Umami taste intensity and sensitivity increased following exercise and preference was decreased. No significant results were obtained for bitter taste. While evidence regarding the effect of exercise on taste has arisen from this review, the pre-testing nutrition, testing conditions, type of test, and exercise modality must be standardized in order to produce meaningful and reproducible results in the future.