We aimed to present an overview of the literature regarding the interaction between physical exercise and APOE gene polymorphism on cognitive function, particularly in patients with Alzheimer's disease (AD). Firstly, this review focused on the effect of the physical exercise on cognitive function, regardless of APOE gene polymorphism. Some studies have shown that a high level of cardiorespiratory fitness is associated with less neuronal damage with an improvement in memory score tests whereas other studies failed to detect any association between physical exercise and cognitive improvement either in healthy individuals or patients with AD. Taken together, standardized protocols and more longitudinal studies are required to provide a better insight into the effects of physical exercise on cognitive function. Although there is no agreement in the literature regarding the effects of physical exercise on cognitive function, it is well established that it improves social interaction and the feeling of well-being, thereby positively contributing to the quality of life of the elderly. Regarding the influence of physical exercise on cognitive function in APOE ε4 allele carriers, the data trend shows that the carriers of allele ε4 for APOE gene were more responsive to the beneficial effects of physical exercise on cognitive function compared with non-carriers. Nevertheless, studies with larger sample sizes will provide more accuracy about this relationship.