Exercise can improve cognitive function and the outcome of neurodegenerative diseases, like Alzheimer’s disease. This effect has been linked to the increased expression of brain-derived neurotrophic factor (BDNF). However, the underlying molecular mechanisms driving the elevation of this neurotrophin remain unknown. Recently, we have reported a PGC-1α-FNDC5/irisin pathway, which is activated by exercise in the hippocampus in mice and induces a neuroprotective gene program, including Bdnf. This review will focus on FNDC5 and its secreted form “irisin”, a newly discovered myokine, and their role in the nervous system and its therapeutic potential. In addition, we will briefly discuss the role of other exercise-induced myokines on positive brain effects.