The global recognition of the importance of physical exercise (PE) for human health has resulted in increased research on its effects on cortical activity. Neural oscillations, which are prominent features of brain activity, serve as crucial indicators for studying the effects of PE on brain function. Existing studies support the idea that PE modifies various types of neural oscillations. While EEG-related literature in exercise science exists, a comprehensive review of the effects of exercise specifically in healthy populations has not yet been conducted. Given the demonstrated influence of exercise on neural plasticity, particularly cortical oscillatory activity, it is imperative to consolidate research on this phenomenon. Therefore, this review aims to summarize numerous PE studies on neuromodulatory mechanisms in the brain over the past decade, covering (1) effects of resistance and aerobic training on brain health via neural oscillations; (2) how mind-body exercise affects human neural activity and cognitive functioning; (3) age-Related effects of PE on brain health and neurodegenerative disease rehabilitation via neural oscillation mechanisms; and (4) conclusion and future direction. In conclusion, the effect of PE on cortical activity is a multifaceted process, and this review seeks to comprehensively examine and summarize existing studies' understanding of how PE regulates neural activity in the brain, providing a more scientific theoretical foundation for the development of personalized PE programs and further research.