In order to guarantee better conditions for competition, the nervous system has developed not only mechanisms controlling muscle effectors, but also retrograde systems that, starting from peripheral structures, may influence brain functions. Under such perspective, physical activity could play an important role in influencing cognitive brain functions including learning and memory. The results of epidemiological studies (cross-sectional, prospective and retrospective) support a positive relationship between cognition and physical activities. Recent meta-analysis confirmed a significant effect of exercise on cognitive functions. However, the biological mechanisms that underlie such beneficial effects are still to be completely elucidated. They include supramolecular mechanisms (e.g. neurogenesis, synaptogenesis, and angiogenesis) which, in turn, are controlled by molecular mechanisms, such as BDNF, IGF-1, hormone and second messengers.