The neuroscience of exercise is a growing research area that is dedicated to furthering our understanding of the effects that exercise has on mental health and athletic performance. The present study examined three specific topics: (1) the relationship between exercise and mental disorders (e.g. major depressive disorder, dementia and Parkinson's disease), (2) the effects of exercise on the mood and mental health of athletes, and (3) the possible neurobiological mechanisms that mediate the effects of exercise. Positive responses to regular physical exercise, such as enhanced functional capacity, increased autonomy and improved self-esteem, are frequently described in the recent literature, and these responses are all good reasons for recommending regular exercise. In addition, physical exercise may improve both mood and adherence to an exercise program in healthy individuals and might modulate both the performance and mental health of athletes. Exercise is associated with the increased synthesis and release of both neurotransmitters and neurotrophic factors, and these increases may be associated with neurogenesis, angiogenesis and neuroplasticity. This review is a call-to-action that urges researchers to consider the importance of understanding the neuroscience of physical exercise and its contributions to sports science.