The power of exercise supports cognitive function，the effects of which can last for considerable time. The action of exercise on epigenetic regulation of gene expression is to establish an “epigenetic memory” to influence long-term brain function and behavior. We discuss new developments in the epigenetic field connecting exercise with changes in cognitive function，including DNA methylation，histone modifications，and miRNA expression regulation. This helps to understand the underlying mechanisms by which exercise improves cognitive ability in the long run，and is crucial to the use of exercise to improve learning.