Physical activity is a powerful lifestyle factor capable of improving cognitive function, modifying the risk for dementia associated with neurodegeneration and possibly slowing neurodegenerative disease progression in both men and women. However, men and women show differences in the biological responses to physical activity and in the vulnerabilities to the onset, progression and outcome of neurodegenerative diseases, prompting the question of whether sex-specific regulatory mechanisms might differentially modulate the benefits of exercise on the brain. Mechanistic studies aimed to better understand how physical activity improves brain health and function suggest that the brain responds to physical exercise by overall reducing neuroinflammation and increasing neuroplasticity. Here, we review the emerging literature considering sex-specific differences in the immune system response to exercise as a potential mechanism by which physical activity affects the brain. Although the literature addressing sex differences in this light is limited, the initial findings suggest a potential influence of biological sex in the brain benefits of exercise, and lay out a scientific foundation to support very much needed studies investigating the potential effects of sex-differences on exercise neurobiology. Considering biological sex and sex-differences in the neurobiological hallmarks of exercise will help to enhance our understanding of the mechanisms by which physical activity benefits the brain and also improve the development of treatments and interventions for diseases of the central nervous system.