Physical activity (PA) has been central in the life of our species for most of its history, and thus shaped our physiology during evolution. However, only recently the health consequences of a sedentary lifestyle, and of highly energetic diets, are becoming clear. It has been also acknowledged that lifestyle and diet can induce epigenetic modifications which modify chromatin structure and gene expression, thus causing even heritable metabolic outcomes. Many studies have shown that PA can reverse at least some of the unwanted effects of sedentary lifestyle, and can also contribute in delaying brain aging and degenerative pathologies such as Alzheimer’s Disease, diabetes, and multiple sclerosis. Most importantly, PA improves cognitive processes and memory, has analgesic and antidepressant effects, and even induces a sense of wellbeing, giving strength to the ancient principle of “mens sana in corpore sano” (i.e., a sound mind in a sound body). In this review we will discuss the potential mechanisms underlying the effects of PA on brain health, focusing on hormones, neurotrophins, and neurotransmitters, the release of which is modulated by PA, as well as on the intra- and extra-cellular pathways that regulate the expression of some of the genes involved.