Exercise initiates a coordinated series of physiological responses, including hypothalamic-pituitary-adrenal (HPA) axis and sympathetic nervous system activation, that, in combination, lead to the appropriate selection and utilization of metabolic substrates. Physical activity acts as a powerful stimulus for the hypothalamic-pituitary axis, leading to the liberation of several neuroendocrine hormones. The nature of this stimulation varies according to the kind of exercise (intensity, duration, aerobic, strength) and subject characteristics (gender, previous training), as well as depending on the time of the day and meal ingestion. As a whole, the neuroendocrine responses to exercise represent an accurate regulator of fuels (glucose, free fatty acids) homeostasis in a special situation characterized by a drastic increase of the energy requirements at muscle level. In this article the current knowledge about this topic is reviewed.