Alzheimer’s disease (AD) is a major subtype of neurodegenerative dementia caused by long-term interactions and accumulation of multiple adverse factors, accompanied by dysregulation of numerous intracellular signaling and molecular pathways in the brain. At the cellular and molecular levels, the neuronal cellular milieu of the AD brain exhibits metabolic abnormalities, compromised bioenergetics, impaired lipid metabolism, and reduced overall metabolic capacity, which lead to abnormal neural network activity and impaired neuroplasticity, thus accelerating the formation of extracellular senile plaques and intracellular neurofibrillary tangles. The current absence of effective pharmacological therapies for AD points to the urgent need to investigate the benefits of non-pharmacological approaches such as physical exercise. Despite the evidence that regular physical activity can improve metabolic dysfunction in the AD state, inhibit different pathophysiological molecular pathways associated with AD, influence the pathological process of AD, and exert a protective effect, there is no clear consensus on the specific biological and molecular mechanisms underlying the advantages of physical exercise. Here, we review how physical exercise improves crucial molecular pathways and biological processes associated with metabolic disorders in AD, including glucose metabolism, lipid metabolism, Aβ metabolism and transport, iron metabolism and tau pathology. How metabolic states influence brain health is also presented. A better knowledge on the neurophysiological mechanisms by which exercise improves AD metabolism can contribute to the development of novel drugs and improvement of non-pharmacological interventions.