Brain-derived neurotrophic factor (BDNF) represents one of the most widely studied neurotrophins because of the many mechanisms in which it is involved. Among these, a growing body of evidence indicates BDNF as a pleiotropic signaling molecule and unveils non-negligible implications in the regulation of energy balance. BDNF and its receptor are extensively expressed in the hypothalamus, regions where peripheral signals, associated with feeding control and metabolism activation, and are integrated to elaborate anorexigenic and orexigenic effects. Thus, BDNF coordinates adaptive responses to fluctuations in energy intake and expenditure, connecting the central nervous system with peripheral tissues, including muscle, liver, and the adipose tissue in a complex operational network. This review discusses the latest literature dealing with the involvement of BDNF in the maintenance of energy balance. We have focused on the physiological and molecular mechanisms by which BDNF: (I) controls the mitochondrial function and dynamics; (II) influences thermogenesis and tissue differentiation; (III) mediates the effects of exercise on cognitive functions; and (IV) modulates insulin sensitivity and glucose transport at the cellular level. Deepening the understanding of the mechanisms exploited to maintain energy homeostasis will lay the groundwork for the development of novel therapeutical approaches to help people to maintain a healthy mind in a healthy body.