The benefits of regular exercise to promote general health and reduce the risk of hypokinetic diseases associated with sedentary lifestyles are well recognized. Recent studies suggest that exercise may enhance neurobiological processes that promote brain health in aging and disease. A current frontier in the neurodegenerative disorder multiple sclerosis (MS) concerns the role of physical activity for promoting brain health through protective, regenerative and adaptive neural processes. Research on neuromodulation, raises the possibility that regular physical activity may mediate favourable changes in disease factors and symptoms associated with MS, in part through changes in neuroactive proteins. Insulin-like growth factor-I appears to act as a neuroprotective agent and studies indicate that exercise could promote this factor in MS. Neurotrophins, brain-derived neurotrophic factor (BDNF) and nerve growth factor likely play roles in neuronal survival and activity-dependent plasticity. Physical activity has also been shown to up-regulate hippocampal BDNF, which may play a role in mood states, learning and memory to lessen the decline in cognitive function associated with MS. In addition, exercise may promote anti-oxidant defences and neurotrophic support that could attenuate CNS vulnerability to neuronal degeneration. Exercise exposure (preconditioning) may serve as a mechanism to enhance stress resistance and thereby may support neuronal survival under heightened stress conditions. Considering that axonal loss and cerebral atrophy occur early in the disease, exercise prescription in the acute stage could promote neuroprotection, neuroregeneration and neuroplasticity and reduce long-term disability. This review concludes with a proposed conceptual model to connect these promising links between exercise and brain health.