Exercise is a well-recognized facet of modern living; however, the threat of sedentary lifestyle is ever increasing with the arrival of the technological period. Although the beneficial effects of exercise to the health and function of the brain have been accepted by the scientific and medical community, much remains to be achieved to understand its mechanisms of action. With the advent of modern investigative tools, several more key molecular and cellular players have been implicated in the above process. Such include the family of neurotrophins (e.g. NGF and BDNF) and their receptors, some pro-inflammatory cytokines (L-1β, IL-6, TNF-α, IFN-γ), microglia and astrocytes, and the cholinergic neuronal cells in the forebrain. While experiments based on the voluntary exercise paradigm has been the preferred approach to studying the brain, less is known about the forced paradigm. We will discuss in this review how molecular players may feature differently in the context of exercise and more importantly how their actions converged to impact the structure, and function (learning and memory) of the CNS.