A review of the literature on the relationship of exercise to mental health strongly suggests that the two are closely linked. Thus, physical activity has been reported to reduce depression symptoms and anxiety, and to improve coping with stress. Logically, many investigators have then tried to determine the physiological mechanisms that are responsible for this mood-elevating effect of exercise. Among the current hypotheses, those regarding the endorphin and the monoamine systems have received a great deal of attention. On that basis, the respective effects of physical exercise on brain dopamine, noradrenaline and serotonin transmission are reviewed herein. In addition, suggestions are advanced for future research in this field.