Anxiety disorders, such as posttraumatic stress disorder, are underpinned by fear learning mechanisms. This review outlines how acute bouts of exercise can moderate fear memory acquisition, consolidation, and extinction. These fear memory mechanisms are central to the development and treatment of anxiety disorders. We propose that the documented effects of acute exercise directly impact key neurobiological processes implicated in fear memory modulation. Central to the relationship between acute exercise and fear memory is brain derived neurotrophic factor (BDNF), which is augmented following acute exercise and is involved in synaptic plasticity and associative learning and memory. BDNF is a likely candidate for how acute exercise may moderate fear memories via key glucocorticoid and noradrenergic systems. Recent work has extended animal studies on acute exercise and fear memory to human populations, and has replicated the effects of exercise on emotional memories and extinction consolidation. This accumulative evidence suggests that the role of acute exercise in fear memory modulation may have significant potential benefits for how anxiety disorders are managed.