The current literature includes several studies investigating the association between physical activity and risk of Alzheimer’s disease (AD). The aim of this review was to systematically evaluate available evidence on this association. Medline via PubMed and CINAHL databases were searched for original English language research articles assessing the relationship between physical activity and incident AD. The review was limited to prospective observational and intervention studies. Criteria for exclusion were studies focusing on individuals with dementia, cross-sectional study design, and case reports. The quality of included studies was assessed in 5 domains of bias. Twenty-four studies met the inclusion criteria. The number of participants ranged from 176 to 5,698. Follow-up time varied from 1 to 34 years. Physical activity was inversely associated with risk of AD in most studies (n = 18). Leisure-time physical activity was particularly protective against AD, but not work-related physical activity. The risk of bias assessment showed that overall quality of evidence was moderate for 16 and low for 8 studies. Beyond all the available general recommendations for health promotion, current evidence does not allow to draw specific practical recommendations concerning the types, frequency, intensity, or duration of physical activity that may be protective against AD.