Sleep disturbances are common in persons with dementia (PWD). While pharmacotherapy is widely used, non-pharmacological interventions are beginning to surface as first-line management strategies. This study sought to investigate if physical activity was associated with more favourable sleep patterns in PWD, and to compare the sleep quantity and quality between active and inactive PWD. We conducted an exploratory study to tackle these research questions. Self-reported telephone questionnaires were administered to 40 caregivers of PWD, who answered questions as proxies on behalf of their care recipient. Just over half (55%) of our participants met the criteria for being active. Walking was the most popular form of physical activity for both active and inactive PWD. Active PWD also preferred exercise classes and gardening, whereas inactive PWD favoured chair exercises. Compared to their inactive counterparts, active PWD were more likely to experience appropriate sleep quantity (p = 0.00). The active group also reported significantly better overall sleep quality (p = 0.003). Together, our findings suggest that physical activity may be associated with improved sleep in PWD. Future studies are warranted to investigate whether physical activity can be promoted as a safe and effective means to improve quality-of-life in this population.