Healthy aging is associated with changes in sensory, motor, cognitive, and emotional functions. Such changes depend on various factors. In particular, physical activity not only improves physical and motor but also cognitive and emotional functions. Observational (i.e., associations) and cross-sectional studies generally show a positive effect of regular physical exercise on cognition in older adults. Most longitudinal randomized controlled intervention studies also show positive effects, but the results are inconsistent due to large heterogeneity of methodological setups. Positive changes accompanying physical activity mainly impact executive functions, memory functions, and processing speed. Several factors influence the impact of physical activity on cognition, mainly the type and format of the activity. Strength training and aerobic training yield comparable but also differential benefits, and all should be used in physical activities. Also, a combination of physical activity with cognitive activity appears to enhance its effect on cognition in older age. Hence, such combined training approaches are preferable to homogeneous trainings. Studies of brain physiology changes due to physical activity show general as well as specific effects on certain brain structures and functions, particularly in the frontal cortex and the hippocampus, which are those areas most affected by advanced age. Physical activity also appears to improve cognition in patients with mild cognitive dysfunction and dementia and often ameliorates the disease symptoms. This makes physical training an important intervention for those groups of older people. Apart from cognition, physical activity leads to improvement of emotional functions. Exercise can lead to improvement of psychological well-being in older adults. Most importantly, exercise appears to reduce symptoms of depression in seniors. In future intervention studies it should be clarified who profits most from physical activity. Further, the conditions that influence the cognitive and emotional benefits older people derive from physical activity should be investigated in more detail. Finally, measures of brain activity that can be easily applied should be included as far as possible.