Although the positive relationship among exercise, brain, and cognitive function has been established, majority of studies to date primarily employed event-related potential. The purpose of this manuscript is to review the recent studies regarding exercise and brain structure employed magnetic resonance imaging (MRI), with emphasizing on hippocampus, prefrontal cortex, and basal ganglia. Results reveal that rodent and human studies generally demonstrate a positive association between exercise and the brain structure. It is worth mentioning that MRI can be more directly exhibited changes in the brain structures. In particular, high fitness or exercise intervention positively affects the three brain structures. Future studies are suggested to investigate the relationship between exercise and brain using MRI to advance the knowledge.