From the article:
The researchers say the improvements are due to a brain protein called brain-derived neurotrophic growth factor, which is released during aerobic exercise. A kind of Miracle-Gro for the brain, BDNF stimulates the hippocampus – the brain’s center of learning and long-term memory – to sprout new neurons, and it increases connections between neurons.
McEwen said that in the second study, the amount of BDNF increased 35 percent in the group that had participated in both cognitive training and exercise – and half of that increase occurred within the first two weeks of the study. In contrast, BDNF levels did not change among those who only received cognitive training.