“Runner’s high” refers to a momentary sense of pleasure that suddenly appears during running or other exercise activities, characterized by anti-anxiety, pain relief, and other symptoms. The neurobiological mechanism of “runner’s high” is unclear. This review summarizes human and animal models for studying “runner’s high”, analyzes the neurotransmitters and neural circuits involved in runner’s high, and elucidates the evidence and shortcomings of researches related to “runner’s high”. This review also provides prospects for future research. Research has found that exercise lasting more than 30 min and with an intensity exceeding 70% of the maximum heart rate can reach a “runner’s high”. Human experiments on “runner’s high” mostly use treadmill exercise intervention, and evaluate it through questionnaire surveys, measurement of plasma AEA, miRNA and other indicators. Animal experiments often use voluntary wheel running intervention, and evaluate it through behavioral experiments such as conditional place preference, light dark box experiments (anxiety), hot plate experiments (pain sensitivity), and measurement of plasma AEA and other indicators. Dopamine, endogenous opioid peptides, endogenous cannabinoids, brain-derived neurotrophic factor, and other substances increase after exercise, which may be related to the “runner’s high”. However, attention should be paid to the functional differences of these substances in the central and peripheral regions, as well as in different brain regions. Moreover, current studies have not identified the targets of the neurotransmitters or neural factors mentioned above, and further in-depth researches are needed. The mesolimbic dopamine system, prefrontal cortex-nucleus accumbens projection, ventral hippocampus-nucleus accumbens projection, red nucleus-ventral tegmental area projection, cerebellar-ventral tegmental area projection, and brain-gut axis may be involved in the regulation of runner’s high, but there is a lack of direct evidence to prove their involvement. There are still many issues that need to be addressed in the research on the neurobiological mechanisms of “runner’s high”. (1) Most studies on “runner’s high” involve one-time exercise, and the characteristics of changes in “runner’s high” during long-term exercise still need to be explored. (2) The using of scales to evaluate subjects lead to the lacking of objective indicators. However, some potential biomarkers (such as endocannabinoids) have inconsistent characteristics of changes after one-time and long-term exercise. (3) The neurotransmitters involved in the formation of the “runner’s high” all increase in the peripheral and/or central nervous system after exercise. Attention should be paid to whether peripheral substances can enter the blood-brain barrier and the binding effects of neurotransmitters to different receptors are completely different in different brain regions. (4) Most of the current evidence show that some brain regions are activated after exercise. Is there a functional circuit mediating “runner’s high” between these brain regions? (5) Although training at a specific exercise intensity can lead to “runner’s high”, most runners have not experienced “runner’s high”. Can more scientific training methods or technological means be used to make it easier for people to experience the “runner’s high” and thus be more willing to engage in exercise? (6) The “runner’s high” and “addiction” behaviors are extremely similar, and there are evidences that exercise can reverse addictive behaviors. However, why is there still a considerable number of people in the sports population and even athletes who smoke or use addictive drugs instead of pursuing the “pleasure” brought by exercise? Solving the problems above is of great significance for enhancing the desire of exercise, improving the clinical application of neurological and psychiatric diseases through exercise, and enhancing the overall physical fitness of the population.