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.