Western countries are experiencing aging populations and increased longevity; thus, the incidence of dementia and Alzheimer's disease (AD) in these countries is projected to soar. In the absence of a therapeutic drug, non-pharmacological preventative approaches are being investigated. One of these approaches is regular participation in physical activity or exercise. This paper reviews studies that have explored the relationship between physical activity and cognitive function, cognitive decline, AD/dementia risk and AD-associated biomarkers and processes. There is now strong evidence that links regular physical activity or exercise to higher cognitive function, decreased cognitive decline and reduced risk of AD or dementia. Nevertheless, these associations require further investigation, more specifically with interventional studies that include long follow-up periods. In particular, relatively little is known about the underlying mechanism(s) of the associations between physical activity and AD neuropathology; clearly this is an area in need of further research, particularly in human populations. Although benefits of physical activity or exercise are clearly recognised, there is a need to clarify how much physical activity provides the greatest benefit and also whether people of different genotypes require tailored exercise regimes. © 2013 Macmillan Publishers Limited.