Today, there is a great scientific interest in understanding the mechanisms of mental disorders. Three lifestyle factors may play an essential role in protecting brain health: a socially integrated network, cognitive leisure activity, and regular exercise. It is widely accepted that exercise is a non-pharmacological, low-cost, easily accessible, and non-adverse promising method to delay brain deterioration in aging, and it was also suggested that exercise improves brain health across the lifespan. Despite the clear relationship between exercise and mental health, our knowledge of the cellular and molecular mechanisms that trigger such benefits is still limited. Pioneering studies showed that various peripheral factors (brain-derived neurotrophic factors, insulin-like growth factor-1, irisin, etc.) are released into the bloodstream via exercise. Moreover, there is much evidence that enhancement of neurogenesis, angiogenesis, and synaptogenesis caused by exercise-induced neurotrophins and growth factors, such as the BDNF, IGF-1, irisin, and VEGF, etc., has an essential role in the positive changes of mental health. Nevertheless, there is currently insufficient evidence to draw firm conclusions regarding the relationship between optimum exercise regime and maximize mental health via modulation of neurotrophic factors.