Physical exercise may be an important adjunct to pharmacological treatment of Alzheimer's disease (AD). Animal studies indicate that exercise may be disease modifying through several mechanisms including reduction of AD pathology. We carried out a systematic review of intervention studies of physical exercise with hippocampal volume (on MRI), amyloid-β, total tau, phosphorylated tau in cerebrospinal fluid (CSF), 18F-FDG-PET or amyloid PET as outcome measures in healthy subjects, patients with subjective memory complaints, mild cognitive impairment, or AD. We identified a total of 8 studies of which 6 investigated the effects of exercise on hippocampal volume in healthy subjects and 1 on CSF biomarkers and 1 on hippocampal volume in AD, and none investigating the remaining outcome measures or patient groups. Methodological quality of identified studies was generally low. One study found a detrimental effect on hippocampal volume and one found a positive effect, whereas the remaining studies did not find an effect of exercise on outcome measures. The present systematic study identified a relatively small number of studies, which did not support an effect of exercise on hippocampal volume. Methodological issues such small to moderate sample sizes and inadequate ramdomization procedures further limits conclusions. Our findings highlight the difficulties in conducting high quality studies of exercise and further studies are needed before definite conclusions may be reached.