In animals, physical activity has been shown to induce functional and structural changes especially in the hippocampus and to improve memory, probably by upregulating the release of neurotrophic factors. In humans, results on the effect of acute exercise on memory are inconsistent so far. Therefore, the aim of the present study was to assess the effects of a single bout of physical exercise on memory consolidation and the underlying neuroendocrinological mechanisms in young adults. Participants encoded a list of German-Polish vocabulary before exercising for 30 minutes with either high intensity or low intensity or before a relaxing phase. Retention of the vocabulary was assessed 20 minutes after the intervention as well as 24 hours later. Serum BDNF and salivary cortisol were measured at baseline, after learning, and after the intervention. The high-intensity exercise group showed an increase in BDNF and cortisol after exercising compared to baseline. Exercise after learning did not enhance the absolute number of recalled words. Participants of the high-intensity exercise group, however, forgot less vocabulary than the relaxing group 24 hours after learning. There was no robust relationship between memory scores and the increase in BDNF and cortisol, respectively, suggesting that further parameters have to be taken into account to explain the effects of exercise on memory in humans.