Accumulating evidence supports that physical exercise (EX) is the most effective non-pharmacological strategy to improve brain health. EX prevents cognitive decline associated with age and decreases the risk of developing neurodegenerative diseases and psychiatric disorders. These positive effects of EX can be attributed to an increase in neurogenesis and neuroplastic processes, leading to learning and memory improvement. At the molecular level, there is a solid consensus to involve the neurotrophin brain-derived neurotrophic factor (BDNF) as the crucial molecule for positive EX effects on the brain. However, even though EX incontestably leads to beneficial processes through BDNF expression, cellular sources and molecular mechanisms underlying EX-induced cerebral BDNF overproduction are still being elucidated. In this context, the present review offers a summary of the different molecular mechanisms involved in brain’s response to EX, with a specific focus on BDNF. It aims to provide a cohesive overview of the three main mechanisms leading to EX-induced brain BDNF production: the neuronal-dependent overexpression, the elevation of cerebral blood flow (hemodynamic hypothesis), and the exerkine signaling emanating from peripheral tissues (humoral response). By shedding light on these intricate pathways, this review seeks to contribute to the ongoing elucidation of the relationship between EX and cerebral BDNF expression, offering valuable insights into the potential therapeutic implications for brain health enhancement.