Physical activity has been demonstrated to improve cognitive function, thereby preventing/slowing neurodegenerative diseases (NDs). Biological responses to physical activity and vulnerabilities to NDs are emerging to be gender-related. Herein, known ND-associated markers (β-amyloid, tau, α-synuclein), main sex steroid hormones, antioxidant responses, and key gene transcription modulators were evaluated in the blood of physically active and sedentary women and men. In our hands, females presented higher basal erythrocytes β-amyloid and α-synuclein amounts than males. Regular physical activity was able to significantly reduce the erythrocyte content of β-amyloid in females and the tau levels in males, suggesting that these differences may be mediated by organizational actions of sex steroid hormones during development. Furthermore, despite a comparable plasma antioxidant capability (AOC) between males and females, in the latter group, physical activity significantly enhances AOC versus peroxynitrite radicals only. Finally, regular physical activity modulated the levels of transcription factor Nrf2 in erythrocytes, as well as the plasma concentration of the microRNA miR-195 and miR-153, suggesting the promotion of antioxidant/autophagic processes associated with ND-related proteins. Overall, these results could shed light on how cerebral adaptations to physical activity differ between males and females, especially with regard to blood accumulation of ND proteins and mechanisms of antioxidant responses to regular exercise.