The neurophysiological mechanisms by which exercise improves cognitive function have not been fully elucidated. A comprehensive and systematic review of current domestic and international neurophysiological evidence on exercise improving cognitive function was conducted from multiple perspectives. At the molecular level, exercise promotes nerve cell regeneration and synaptogenesis and maintains cellular development and homeostasis through the modulation of a variety of neurotrophic factors, receptor activity, neuropeptides, and monoamine neurotransmitters, and by decreasing the levels of inflammatory factors and other modulators of neuroplasticity. At the cellular level, exercise enhances neural activation and control and improves brain structure through nerve regeneration, synaptogenesis, improved glial cell function and angiogenesis. At the structural level of the brain, exercise promotes cognitive function by affecting white and gray matter volumes, neural activation and brain region connectivity, as well as increasing cerebral blood flow. This review elucidates how exercise improves the internal environment at the molecular level, promotes cell regeneration and functional differentiation, and enhances the brain structure and neural efficiency. It provides a comprehensive, multi-dimensional explanation of the neurophysiological mechanisms through which exercise promotes cognitive function.