It has been suggested that regular physical exercise is beneficial to not only physiological adaptation, but also psychological health through stress reduction, antidepressant / anxiolytic properties and improvement in mood. However, since exercise regimens have varied widely across experiments, the optimal form, intensity and duration of exertion for producing the maximal benefits of exercise have yet to be established. Recent neuroscience studies have shown that physical exercise could have a positive impact on the brain, raising the hypothesis that the beneficial effects of physical exercise on psychological health are due to morphological and functional adaptation in the brain, rather than physiological adaptation to physical exercise. For example, it has been shown that physical exercise results in increased neurogenesis or expression of brain-derived neurotrophic factor as well as improved cognitive abilities or reduced stress-induced depressive behavior. Although evidence of the neural and behavioral benefits of physical exercise is accumulating, the influences of different regimens of physical exercise on the brain and behavior remain unclear. This issue aims to outline the effects of physical exercise on pathological conditions with a focus on mood disorders, including depression and anxiety, and consider the neural mechanisms of the antidepressant / anxiolytic effects of physical exercise.