The connection between physical exercise and the brain has long been studied. The evidence showing that physical exercise plays a significant role on neurogenesis and cognitive function has primarily been based on research examining aerobic exercise. In this review, we described three exercise modalities: aerobic, anaerobic, and resistance exercise and their impact on brain plasticity and cognitive function. While each of these exercise modalities have been demonstrated to positively influence brain plasticity and cognitive function, the specific mechanism that stimulates these changes appear to differ to some degree between these training modalities. The effect of aerobic and anaerobic exercise appears to be primarily mediated by changes in expression of brain-derived neurotrophic factor (BDNF), lactate, vascular endothelial growth factor (VEGF), and several additional proteins within the brain. However, resistance exercise appears to influence brain plasticity by myokines such as irisin, insulin-growth factor-1 (IGF1), and BDNF that are secreted from skeletal tissue and stimulate neurogenesis within the brain. In addition to the various training modes, manipulation of various acute program variables such as intensity, volume, and rest intervals leads to numerous possible training paradigms that can provide a different stimulus for neurogenesis. This review focuses on the three primary training modes and their connection to neurogenesis and cognitive function.