Exercise training promotes extensive cardiovascular changes and adaptive mechanisms in both the peripheral and cerebral vasculature, such as improved organ blood flow, induction of antioxidant pathways, and enhanced angiogenesis and vascular regeneration. Clinical studies have demonstrated a reduction of morbidity and mortality from cardiovascular disease among exercising individuals. However, evidence from recent large clinical trials also suggests a substantial reduction of dementia risk - particularly regarding Alzheimer's disease (AD) - with regular exercise. Enhanced neurogenesis and improved synaptic plasticity have been implicated in this beneficial effect. However, recent research has revealed that vascular and specifically endothelial dysfunction is essentially involved in the disease process and profoundly aggravates underlying neurodegeneration. Moreover, vascular risk factors (VRFs) are probably determinants of incidence and course of AD. In this review, we emphasize the interconnection between AD and VRFs and the impact of cerebrovascular and endothelial dysfunction on AD pathophysiology. Furthermore, we describe the molecular mechanisms of the beneficial effects of exercise on the vasculature such as activation of the vascular nitric oxide (NO)/endothelial NO synthase (eNOS) pathway, upregulation of antioxidant enzymes, and angiogenesis. Finally, recent prospective clinical studies dealing with the effect of exercise on the risk of incident AD are briefly reviewed. We conclude that, next to upholding neuronal plasticity, regular exercise may counteract AD pathophysiology by building a vascular reserve.