The literature shows that improvements in cognitive performance may be observed following an acute bout of exercise. However, evidence in support of the biological mechanisms of this effect is still limited. Findings from both rodent and human studies suggest brain-derived neurotrophic factor (BDNF) as a potential mechanism of the effect of acute exercise on memory. The molecular properties of BDNF allow this protein to be assessed in the periphery (pBDNF) (i.e., blood serum, blood plasma), making measurements of acute exercise-induced changes in BDNF concentration relatively accessible. Studies exploring the acute exercise–pBDNF–cognitive performance relationship have had mixed findings, but this may be more reflective of methodological differences between studies than it is a statement about the role of BDNF. For example, significant associations have been observed between acute exercise-induced changes in pBDNF concentration and cognitive performance in studies assessing memory, and non-significant associations have been found in studies assessing non-memory cognitive domains. Three suggestions are made for future research aimed at understanding the role of BDNF as a biological mechanism of this relationship: 1) Assessments of cognitive performance may benefit from a focus on various types of memory (e.g., relational, spatial, long-term); 2) More fine-grained measurements of pBDNF will allow for the assessment of concentrations of specific isoforms of the BDNF protein (i.e., immature, mature); 3) Statistical techniques designed to test the mediating role of pBDNF in the acute exercise-cognitive performance relationship should be utilized in order to make causal inferences.