Purpose: To investigate the effects of physical exercise at improving functional capacity in older adults living with Alzheimer's disease (AD). Methods: Medline, Embase, Web of Science, The Cochrane Library, Lilacs, and PEDro were searched from inception until January 2021. Randomized controlled trials (RCTs) that reported functional capacity outcomes were included. The evidence was assessed using the GRADE approach. Results: Thirteen RCTs were included, involving 811 older adults living with AD. Multimodal exercise (ME), aerobic exercise (AE), and resistance exercise (RE) were used. The interventions were mainly supervised by caregivers. The evidence was low and with effect for activities of daily living (ADLs), moderate and with no effect for mobility and very low and with no effect for muscle strength, postural balance and flexibility after treatment with ME, moderate and with no effect for cardiorespiratory function and ADLs after treatment with AE. It was not possible to synthesize any type of evidence for RE. Conclusions: Multimodal exercise promotes improvements in functional capacity (ADLs). Therefore, the practice of physical exercise can be recommended for older adults living with AD. The involvement of the caregiver in the physical exercises should also be considered, as it could enhance the benefits of exercise for these older adults.Implications for rehabilitationHealthcare providers with clinical knowledge regarding physical exercise should promote, prescribe and support the daily practice of physical exercises for older adults living with Alzheimer's disease (AD).The involvement of caregivers in home-based physical exercise programs should be considered, as it could enhance the benefits of such programs for these older adults.It is important to consider the degree of cognitive impairment in older adults living with AD when outlining goals for the improvement in functional capacity through physical exercise.Multimodal exercise involving aerobic training, postural balance, muscle strengthening, and flexibility is capable of promoting an improvement in functional capacity (activities of daily living) for these older adults.