The mechanisms of autophagy have been related to Alzheimer's disease (AD) pathogenesis by the endosomal‐lysosomal system, having a critical function in forming amyloid‐β (Aβ) plaques. Nevertheless, the exact mechanisms mediating disease pathogenesis remain unclear. The transcription factor EB (TFEB), a primary transcriptional autophagy regulator, improves gene expression, mediating lysosome function, autophagic flux, and autophagosome biogenesis. In this review, we present for the first time the hypothesis of how TFEB, autophagy, and mitochondrial function are interconnected in AD, providing a logical foundation for unraveling the critical role of chronic physical exercise in this process. Aerobic exercise training promotes Adiponectin Receptor 1 (AdipoR1)/AMP‐activated protein kinase (AMPK)/TFEB axis activation in the brain of the AD animal model, which contributes to alleviated Aβ deposition and neuronal apoptosis while improving cognitive function. Moreover, TFEB upregulates Peroxisome proliferator‐activated receptor gamma coactivator 1‐alpha (PGC‐1α) and nuclear factor erythroid 2‐related factor 2 (NRF‐2), improving mitochondrial biogenesis and redox status. In addition, tissue contraction activates calcineurin in skeletal muscle, which induces TFEB nuclear translocation, raising the hypothesis that the same would occur in the brain. Thus, a deep and comprehensive exploration of the TFEB could provide new directions and strategies for preventing AD. We conclude that chronic exercise can be an effective TFEB activator, inducing autophagy and mitochondrial biogenesis, representing a potential nonpharmacological strategy contributing to brain health.