The relationship between physical activity and mental health has been widely investigated, and several hypotheses have been formulated about it. Specifically, during the aging process, physical exercise might represent a potential adjunctive treatment for neuropsychiatric disorders and cognitive impairment, helping delay the onset of neurodegenerative processes. Even though exercise itself might act as a stressor, it has been demonstrated that it reduces the harmful effects of other stressors when performed at moderate intensities. Neurotransmitter release, neurotrophic factor and neurogenesis, and cerebral blood flow alteration are some of the concepts involved. In this review, the potential effects of exercise on the aging process and on mental health are discussed, concerning some of the recent findings on animal and human research. The overwhelming evidence present in the literature today suggests that exercise ensures successful brain functioning.