I'm not super familiar with the current literature on autophagy. I'm a bioinformatician, and I collaborated on an autophagy-related project a few years ago, so I had to read up on it then. I only really recall the overarching themes at this point. But I do remember that since autophagy is used for so many disparate purposes, and because it could easily kill the cell if it got out of control, the regulatory machinery controlling it is almost certainly quite complex.

Here's a recent (published Jan 2012) paper claiming to show that exercise triggers autophagy in muscles, and that this autophagy is an important part of how excercise makes you healthier. http://www.nature.com/nature/journal/vaop/ncurrent/full/natu...

However, that paper says nothing about neurons, yet it seems to the basis of most of the "Could excercise stimulate neuroprotective autophagy?" speculation that I can find via Google. So I don't know that there's any published link between excercise and neuronal autophagy. I suspect that it's just the paper above showing a link between excercise and muscular autophagy, combined with the untested hypothesis of "Maybe excercise stimulates autophagy in other tisues too."