This review introduces an emerging research field that is focused on studying the effect of exposure to air pollution during exercise on cognition, with specific attention to the impact on concentrations of brain-derived neurotrophic factor (BDNF) and inflammatory markers. It has been repeatedly demonstrated that regular physical activity enhances cognition, and evidence suggests that BDNF, a neurotrophin, plays a key role in the mechanism. Today, however, air pollution is an environmental problem worldwide and the high traffic density, especially in urban environments and cities, is a major cause of this problem. During exercise, the intake of air pollution increases considerably due to an increased ventilation rate and particle deposition fraction. Recently, air pollution exposure has been linked to adverse effects on the brain such as cognitive decline and neuropathology. Inflammation and oxidative stress seem to play an important role in inducing these health effects. We believe that there is a need to investigate whether the well-known benefits of regular physical activity on the brain also apply when physical activity is performed in polluted air. We also report our findings about exercising in an environment with ambient levels of air pollutants. Based on the latter results, we hypothesize that traffic-related air pollution exposure during exercise may inhibit the positive effect of exercise on cognition.