Despite the extensive knowledge of the beneficial effects of physical exercise, a sedentary lifestyle is still a predominant harm in our society. Sedentarism is one of the major modifiable risk factors for metabolic diseases such as diabetes mellitus, obesity and neurological disorders, including Alzheimer’s disease (AD)–characterized by synaptic failure, amyloid protein deposition and memory loss. Physical exercise promotes neuroprotective effects through molecules released in circulation and mediates the physiological crosstalk between the periphery and the brain. This literature review summarizes the current understanding of the roles of exerkines, molecules released during physical exercise, as systemic and central factors that mediate the beneficial effects of physical exercise on cognition. We highlight the neuroprotective role of irisin—a myokine released from the proteolytic cleavage of fibronectin type III domain-containing protein 5 (FNDC5) transmembrane protein. Lastly, we review evidence pointing to physical exercise as a potential preventative and interventional strategy against cognitive decline in AD.