The aim of the present systematic review was to investigate the influence of different exercise programs on brain oxidative stress. A search of the literature was conducted up to 1 December 2012 across five databases: PUBMED, SCOPUS, SPORTS DISCUS, Web of Science, and The Cochrane Library. The search strategy used in the electronic databases mentioned was established as: (swim* OR exercise OR training) AND (“oxidative stress” AND brain) for each database. A methodological quality assessment valuation/estimation was additionally carried out in the final sample of studies. Of 1553 potentially eligible papers, 19 were included after inclusion and exclusion criteria. The methodological quality assessment showed a total score in the Quality Index between 40% and 80%, with a mean quality of 56.8%. Overall, regular moderate aerobic exercise appears to promote antioxidant capacity on brain. In contrast, anaerobic or high‐intensity exercise, aerobic‐exhausted exercise, or the combination of both types of training could deteriorate the antioxidant response. Future investigations should be focused on establishing a standardized exercise protocol, depending on the exercise metabolism wanted to test, which could enhance the objective knowledge in this topic.