Although there is no unanimity, growing evidence supports the value of regular physical exercise to prevent Alzheimer's disease as well as cognitive decline in affected patients. Together with an introductory summary on epidemiological evidence, the aim of this review is to summarize the current knowledge on the potential biological mechanisms underlying exercise benefits in this condition. Regular physical exercise has proven to be beneficial for traditional cardiovascular risk factors (e.g., reduced vascular flow, diabetes) involved in the pathogenesis of Alzheimer's disease. Exercise also promotes neurogenesis via increases in exercise-induced metabolic factors (e.g., ketone bodies, lactate) and muscle-derived myokines (cathepsin-B, irisin), which in turn stimulate the production of neurotrophins such as brain-derived neurotrophic factor. Finally, regular exercise exerts anti-inflammatory effects and improves the brain redox status, thereby ameliorating the pathophysiological hallmarks of Alzheimer's disease (e.g., amyloid-beta deposition). In summary, physical exercise might provide numerous benefits through different pathways that might, in turn, help prevent risk and progression of Alzheimer's disease. More evidence is needed, however, based on human studies.