Moderate, continuous formation of reactive oxygen species (ROS) is part of the aerobic metabolism in the normal organism. In all organs and tissues, increased generation of ROS occurs at higher functional activity. Exercise-induced ROS in skeletal muscle is considered as a physiological oxidative stress, and studies of oxidation-damaging and signal challenging aspects of this phenomenon is widely reported in the scientific literature. However, for an organ such as brain highly sensitive to oxidative stress, systematic analysis and contemporary views on the solution of similar problems have not been reflected as a review. In this paper we covered and analyzed the essence of redox changes in the brain under the influence of exercise, the results of studies to identify either neurodegenerative or protective therapeutic mechanisms of these changes. It has been also pointed out to the importance of studies of the oxidant-antioxidant balance modulation by physical exercise to maintain the overall health of people and preventive effect on the development of central nervous system disorders like Alzheimer, Parkinson and etc.