The aim of this study was to analyze the evidence available in the literature about the effects of exercise on brain-derived neurotrophic factor levels in adolescents. The literature searches were conducted in PubMed, Embase, Scopus, ScienceDirect, Web of Science, SportDiscus, the Cochrane Central Register of Controlled Trials (CENTRAL) and CINAHL. Randomized controlled trials and non-randomized controlled trials performed with adolescents (10–19 years) who underwent different exercise programs and who evaluated BDNF levels before and after the intervention were included. We included six studies, four RCTs and two non-RCTs in the systematic review with a total of 407 adolescents. In two randomized trials and one non-RCT, the intervention groups showed significant improvements in BDNF levels compared with the control group. The results presented in the meta-analysis indicate that despite the positive effect in favor of the intervention, there were no significant differences (standardized mean difference 0.28 ng/mL, 95% confidence interval −0.28 to 0.85; p = 0.32, I² = 0%). The results presented in our review indicate that aerobic exercise programs practiced in moderate- or high-intensity are promising strategies to increase BDNF levels in adolescents. However, further studies are required to support this finding.