Exercise has been shown repeatedly to improve cognitive functions. Many investigators have reported that peripheral signal molecules play an important role in regulating exercise-induced cognitive improvement. In this review we aimed to evaluate and clarify the literature to date that has focused on the relationship between Cathepsin B, cognitive functions, and exercise. We conducted a systematic review of the following databases from their inception until 10 April 2022: Pubmed, Web of Science, Scopus, Cochrane Library, Physiotherapy Evidence Database. The search strategy was comprised of ("cathepsin b") AND (exercise OR "physical activity") AND (cognit*). We followed three different quality appraisal tools to ensure the quality of the included studies. Eight studies assessing the effects of exercise on peripheral Cathepsin B levels and cognitive outcomes were included. Half of these studies indicated that exercise increased peripheral Cathepsin B levels and improved cognitive function. Further carefully designed studies focusing on the effects of exercise on peripheral Cathepsin B levels and cognitive performance are needed to better comprehend the underlying mechanisms of these relationships.