Exposure to exercise or to environmental enrichment increases the generation of new neurons in the adult hippocampus and promotes certain kinds of learning and memory. While the precise role of neurogenesis in cognition has been debated intensely, comparatively few studies have addressed the mechanisms linking environmental exposures to cellular and behavioral outcomes. Here we show that bone morphogenetic protein (BMP) signaling mediates the effects of exercise on neurogenesis and cognition in the adult hippocampus. Elective exercise reduces levels of hippocampal BMP signaling before and during its promotion of neurogenesis and learning. Transgenic mice with decreased BMP signaling or wild type mice infused with a BMP inhibitor both exhibit remarkable gains in hippocampal cognitive performance and neurogenesis, mirroring the effects of exercise. Conversely, transgenic mice with increased BMP signaling have diminished hippocampal neurogenesis and impaired cognition. Exercise exposure does not rescue these deficits, suggesting that reduced BMP signaling is required for environmental effects on neurogenesis and learning. Together, these observations show that BMP signaling is a fundamental mechanism linking environmental exposure with changes in cognitive function and cellular properties in the hippocampus.