Alzheimer's disease is a chronic neurodegenerative disease for which there is currently no effective pharmacological treatment. Exercise is considered to be an effective and harmless non-pharmacological intervention. There are various forms of exercise, which have varying effects on the improvement of Alzheimer's disease. Based on the diversity of exercise modalities, this article reviews the effects of aerobic exercise, resistance exercise, high-intensity interval training, and multimodal exercise on Alzheimer's disease, analyzes the differences and connections between these modalities, and explores the related mechanisms of different exercise modalities in improving Alzheimer's disease. Although the mechanisms by which different exercise modalities improve Alzheimer's disease vary, they all alleviate disease progression through the mediation of brain-derived neurotrophic factors. This article may provide a theoretical basis for determining the best exercise modality for patients with Alzheimer's disease.