The effects of regular exercise versus a single bout of exercise on cognition, anxiety, and mood were systematically examined in healthy, sedentary young adults who were genotyped to determine brain-derived neurotrophic factor (BDNF) allelic status (i.e., Val–Val or Val66Met polymorphism). Participants were evaluated on novel object recognition (NOR) memory and a battery of mental health surveys before and after engaging in either (a) a 4-week exercise program, with exercise on the final test day, (b) a 4-week exercise program, without exercise on the final test day, (c) a single bout of exercise on the final test day, or (d) remaining sedentary between test days. Exercise enhanced object recognition memory and produced a beneficial decrease in perceived stress, but only in participants who exercised for 4 weeks including the final day of testing. In contrast, a single bout of exercise did not affect recognition memory and resulted in increased perceived stress levels. An additional novel finding was that the improvements on the NOR task were observed exclusively in participants who were homozygous for the BDNF Val allele, indicating that altered activity-dependent release of BDNF in Met allele carriers may attenuate the cognitive benefits of exercise. Importantly, exercise-induced changes in cognition were not correlated with changes in mood/anxiety, suggesting that separate neural systems mediate these effects. These data in humans mirror recent data from our group in rodents. Taken together, these current findings provide new insights into the behavioral and neural mechanisms that mediate the effects of physical exercise on memory and mental health in humans.