Scientific evidence has demonstrated the power of physical exercise in the prevention and treatment of numerous chronic and/or age-related diseases, such as musculoskeletal, metabolic, and cardiovascular disorders. In addition, regular exercise is known to play a key role in the context of neurodegenerative diseases, as it helps to reduce the risk of their onset and counteracts their progression. However, the underlying molecular mechanisms have not yet been fully elucidated. In this regard, neurotrophins, such as brain-derived neurotrophic factor (BDNF), nerve growth factor (NGF), glia cell line-derived neurotrophic factor (GDNF), neurotrophin-3 (NT-3), and neurotrophin-4 (NT-4), have been suggested as key mediators of brain health benefits, as they are involved in neurogenesis, neuronal survival, and synaptic plasticity. The production of these neurotrophic factors, known to be increased by physical exercise, is downregulated in neurodegenerative disorders, suggesting their fundamental importance in maintaining brain health. However, the mechanism by which physical exercise promotes the production of neurotrophins remains to be understood, posing limits on their use for the development of potential therapeutic strategies for the treatment of neurodegenerative diseases. In this literature review, we analyzed the most recent evidence regarding the relationship between physical exercise, neurotrophins, and brain health, providing an overview of their involvement in the onset and progression of neurodegeneration.