Alzheimer’s disease (AD) disproportionately affects women, with postmenopausal hormonal changes contributing to elevated risk. Physical exercise is a promising, non-pharmacological strategy to mitigate cognitive decline and AD progression. Brain-derived neurotrophic factor (BDNF) and irisin are key molecular mediators of exercise-induced brain health and protection against AD pathology by promoting synaptic plasticity, neurogenesis, and reducing amyloidosis, tau pathology, and neuroinflammation in sex-specific mechanisms. This review explores sex and gender influences on exercise outcomes and their interaction with FNDC5/irisin and BDNF signaling pathways in the context of AD prevention. We highlight emerging evidence on the interplay between exercise, sex, and neuroprotective pathways, emphasizing the need for sex-sensitive research designs to advance precision approaches for AD prevention.