The prevalence of dementia has substantially increased worldwide. Currently, there is no cure for dementia or Alzheimer’s disease (AD), and care for affected patients is financially and psychologically costly. Of late, more attention has been given to preventive interventions—in particular, physical activity/exercise. In this review, examine the risk factors associated with AD and the effects physical activity may play in the prevention of the degenerative process of this disease, loss of memory and cognitive performance in the elderly. To date, research has shown that physical activity, especially aerobic exercise, has a protective effect on cognitive function and memory in the elderly and Alzheimer’s patients. In comparison with aerobic exercise, several strength training studies have also shown positive effects, and the rare studies that compare the two different modalities show no difference.