Engagement in regular bouts of exercise confers numerous positive effects on brain health across the lifespan. Acute bouts of exercise transiently improve cognitive function, while long-term exercise training stimulates brain plasticity, improves brain function, and helps to stave off neurological disease. The action of brain-derived neurotrophic factor (BDNF) is a candidate mechanism underlying these exercise-induced benefits and is the subject of considerable attention in the exercise–brain health literature. It is well established that acute exercise increases circulating levels of BDNF and numerous studies have sought to characterize this response for the purpose of improving brain health. Despite the interest in BDNF responses to exercise, little focus has been given to understanding the sources and mechanisms that underlie this response for the purpose of deliberately increasing circulating levels of BDNF. Here we review evidence to support that exploiting these mechanisms of BDNF release can help to optimize brain plasticity outcomes via exercise interventions, which could be especially relevant in the context of multimodal training (i.e., exercise and cognitive stimulation). Therefore, the purpose of this paper is to review the candidate sources of BDNF during exercise and the mechanisms of release. As well, we discuss strategies for maximizing BDNF responses to exercise, and propose novel research directions for advancing our understanding of these mechanisms.