Old age is generally associated with functional and structural changes in the central nervous system (CSN). Among all the strategies used to maintain the autonomy of the elderly, practicing regular physical activity seems to be an effective way of slowing down the deleterious effects of brain aging, in particular by improving the efficacy of neuroplasticity mechanisms. According to this neurotrophic hypothesis, several neurotrophins released during exercise, including the brain-derived neurotrophic factor (BDNF), contribute to preserving the integrity of the CSN during the aging process. However, secretion of these neurotrophins is also controlled by genes. For example, one of the variations of the gene regulating the secretion of BDNF leads to reduced cerebral secretion of the protein and to poorer cognitive performance. The main objective of this review is to assess the studies that show the moderating effect of the BDNF gene on cognitive performance. The second objective is to explain the importance of a genetic approach in understanding the mechanisms underlying the relationship between physical activity and cognition. Finally, the paper puts forward some future research avenues based on an interdisciplinary approach, combining genetics, cognitive neuroscience, exercise psychology, and human physiology.