BDNF is a mediator of adult neurogenesis, and yes, it has been shown to also increase during/after exercise.
Stress blunts neurogenesis in granule cells belonging to the dentate gyrus of the hippocampus. However, exercise, when voluntary, can enhance the survival of these hippocampal cells whereas forced exercise can have an inhibitory effect.
http://www.ncbi.nlm.nih.gov/pubmed/19156854
It's also been shown that hippocampal volume (not necessarily newborn neuron #) increases after voluntary exercise.
Not only can exercise increase cell #, but it's been shown to alter neuronal morphology by, for example, increasing dendritic arborization.
http://www.ncbi.nlm.nih.gov/pubmed/20887683
Yeah, I was talking about rodents. Yeah, sometimes rodent studies don't translate to humans.
But there is a definite relationship between exercise and adult NG, even if it's not as clear-cut as we'd like to think it is.