Neurological and mental illnesses account for a considerable proportion of the global burden of disease. Exercise has many beneficial effects on brain health, contributing to decreased risks of dementia, depression and stress, and it has a role in restoring and maintaining cognitive function and metabolic control. The fact that exercise is sensed by the brain suggests that muscle-induced peripheral factors enable direct crosstalk between muscle and brain function. Muscle secretes myokines that contribute to the regulation of hippocampal function. Evidence is accumulating that the myokine cathepsin B passes through the blood–brain barrier to enhance brain-derived neurotrophic factor production and hence neurogenesis, memory and learning. Exercise increases neuronal gene expression of FNDC5 (which encodes the PGC1α-dependent myokine FNDC5), which can likewise contribute to increased brain-derived neurotrophic factor levels. Serum levels of the prototype myokine, IL-6, increase with exercise and might contribute to the suppression of central mechanisms of feeding. Exercise also increases the PGC1α-dependent muscular expression of kynurenine aminotransferase enzymes, which induces a beneficial shift in the balance between the neurotoxic kynurenine and the neuroprotective kynurenic acid, thereby reducing depression-like symptoms. Myokine signalling, other muscular factors and exercise-induced hepatokines and adipokines are implicated in mediating the exercise-induced beneficial impact on neurogenesis, cognitive function, appetite and metabolism, thus supporting the existence of a muscle–brain endocrine loop.