Exercise training is the cornerstone in the prevention and management of hypertension and atherosclerotic cardiovascular disease. However, blood pressure (BP) response to exercise is exaggerated in hypertension often to the range that raises the safety concern, which may prohibit patients from regular exercise. This augmented pressor response is shown to be related to excessive sympathetic stimulation caused by overactive muscle reflex. Exaggerated sympathetic-mediated vasoconstriction further contributes to the rise in BP during exercise in hypertension. Exercise training has been shown to reduce both exercise pressor reflex and attenuate the abnormal vasoconstriction. Hypertension also contributes to cognitive impairment, and exercise training has been shown to improve cognitive function through both BP-dependent and BP-independent pathways. Additional studies are still needed to determine if newer modes of exercise training such as high-intensity interval training may offer advantages over traditional continuous moderate training in improving BP and brain health in hypertensive patients.