Exercise helps the brain in many ways. It increases heart rate, which pumps more oxygen to the brain. It aids the release of hormones which provide an excellent environment for the growth of brain cells. Exercise also promotes brain plasticity by stimulating growth of new connections between cells in many important cortical areas of the brain. Researchers even demonstrated that exercise increases growth factors in the brain which makes it easier for the brain to grow new neuronal connections.

From a more feel-good perspective, the same antidepressant-like effects associated with the "runner's high" has been correlated with a drop in stress hormones.In other words it is a stress relief activity. Some studies showed that the antidepressant effect of running was also associated with more cell growth in the hippocampus, an area of the brain responsible for learning and memory. The study went as far as to say “Thus, suppression of cell proliferation in the hippocampus could constitute one of the mechanisms that underlie depression, and physical activity might be an efficient antidepressant.”