Brain-derived neurotrophic factor (BDNF) is a key molecule in promoting neurogenesis, dendritic and synaptic health, neuronal survival, plasticity, and excitability, all of which are disrupted in neurological and cognitive disorders such as Alzheimer's disease (AD). Extracellular aggregates of amyloid-β (Aβ) in the form of plaques and intracellular aggregates of hyperphosphorylated tau protein have been identified as major pathological insults in the AD brain, along with immune dysfunction, oxidative stress, and other toxic stressors. Although aggregated Aβ and tau lead to decreased brain BDNF expression, early losses in BDNF prior to plaque and tangle formation may be due to other insults such as oxidative stress and contribute to early synaptic dysfunction. Physical exercise, on the other hand, protects synaptic and neuronal structure and function, with increased BDNF as a major mediator of exercise-induced enhancements in cognitive function. Here, we review recent literature on the mechanisms behind exercise-induced BDNF upregulation and its effects on improving learning and memory and on Alzheimer's disease pathology. Exercise releases into the circulation a host of hormones and factors from a variety of peripheral tissues. Mechanisms of BDNF induction discussed here are osteocalcin, FNDC5/irisin, and lactate. The fundamental mechanisms of how exercise impacts BDNF and cognition are not yet fully understood but are a prerequisite to developing new biomarkers and therapies to delay or prevent cognitive decline.