Background: Elderly people with dementia may exhibit behavioral and psychological symptoms throughout the course of disease. Non-pharmacological therapies, such as regular physical activity, are considered strategies for managing these symptoms. Objective: The aim of this study was to investigate whether participation in physical exercise programs is effective in reducing behavioral and neuropsychiatric symptoms in elderly people with Mild Cognitive Impairment (MCI) and dementia. Methods: A literature review was carried out in MEDLINE (PubMed), SciELO, Web of Science, Scopus and SPORTDiscus databases from 2010 to 2020. The eligible studies were randomized clinical trials involving elderly people with mild cognitive impairment or dementia and assessing changes in neuropsychiatric and psychological symptoms as primary or secondary outcomes. The studies had a group with only physical exercise as an intervention compared to a control group. Results: Of 175 publications identified in the initial survey, only 7 studies met the eligibility criteria. Four out of 7 studies demonstrated positive effects in reducing behavioral symptoms, while the others did not report differences between gains according to the type of protocol. Conclusions: Moderate to intense aerobic and muscle strengthening exercises may have a potential benefit in the management of behavioral and psychological symptoms in dementia, but studies varied in their conclusions. This review indicates the need for further intervention studies to investigate, as a primary outcome, the absolute effect of physical exercise and its impact on behavioral and psychological symptoms in elderly people with MCI dementia, especially in the early stages of the disease.