It is well documented that physical activity can induce a number of various stimuli which are able to enhance the strength and endurance performance of muscles. Moreover, regular physical activity can preserve or delay the appearance of several metabolic disorders in the human body. Physical exercise is also known to enhance the mood and cognitive functions of active people, although the physiological backgrounds of these effects remain unclear. In recent years, since the pioneering study in the past showed that physical activity increases the expression of the brain derived neurothophic factor (BDNF) in the rat brain, a number of studies were undertaken in order to establish the link between that neurothrophin and post-exercise enhancement of mood and cognitive functions in humans. It was recently demonstrated that physical exercise can increase plasma and/or serum BDNF concentration in humans. It was also reported that physical exercise or electrical stimulation can increase the BDNF expression in the skeletal muscles. In the present review, we report the current state of research concerning the effect of a single bout of exercise and training on the BDNF expression in the brain, in both the working muscles as well as on its concentrations in the blood. We have concluded that there may be potential benefits of the exercise-induced enhancement of the BDNF expression and release in the brain as well as in the peripheral tissues, resulting in the improvement of the functioning of the body, although this effect, especially in humans, requires more research.