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Aerobic exercise (AE) is known to produce beneficial effects on brain health by improving plasticity, connectivity, and cognitive functions, but the underlying molecular mechanisms are still limited. Neurexins (Nrxns) are a family of presynaptic cell adhesion molecules that are important in synapsis formation and maturation. In vertebrates, three-neurexin genes (NRXN1, NRXN2, and NRXN3) have been identified, each encoding for α and β neurexins, from two independent promoters. Moreover, each Nrxns gene (1–3) has several alternative exons and produces many splice variants that bind to a large variety of postsynaptic ligands, playing a role in trans-synaptic specification, strength, and plasticity. In this study, we investigated the impact of a continuous progressive (CP) AE program on alternative splicing (AS) of Nrxns on two brain regions: frontal cortex (FC) and hippocampus. We showed that exercise promoted Nrxns1–3 AS at splice site 4 (SS4) both in α and β isoforms, inducing a switch from exon-excluded isoforms (SS4−) to exon-included isoforms (SS4+) in FC but not in hippocampus. Additionally, we showed that the same AE program enhanced the expression level of other genes correlated with synaptic function and plasticity only in FC. Altogether, our findings demonstrated the positive effect of CP AE on FC in inducing molecular changes underlying synaptic plasticity and suggested that FC is possibly a more sensitive structure than hippocampus to show molecular changes.