The impact of exercise on the brain was brought into focus, for me, by Stryker's lab work on approaches to recover from long-term vision deprivation through visual training while exercising physically ("stimulated by locomotion").
The underlying mechanism seems to be "the reduction produced by deprivation in thalamocortical excitation is compensated for during recovery by a corresponding reduction in the magnitude of inhibition."
Stryker wrote a review here:
"A neural circuit that controls cortical state, plasticity, and the gain of sensory responses in mouse" Stryker 2014 http://symposium.cshlp.org/content/79/1.short
Related, given that awake animals are often on the move:
"We have now studied the response properties of neurons in primary visual cortex of awake mice that were allowed to run on a freely rotating spherical treadmill with their heads fixed. Most neurons showed more than a doubling of visually evoked firing rate as the animal transitioned from standing still to running, without changes in spontaneous firing or stimulus selectivity."
"Modulation of visual responses by behavioral state in mouse visual cortex", Niell and Stryker 2010 https://www.sciencedirect.com/science/article/pii/S0896627310000590