Diabetic cognitive dysfunction refers to the impairment of cognitive function in diabetic patients, which is a common complication of diabetes. This is especially true for elderly patients with type 2 diabetes mellitus. Studies have shown that adipokines, such as adiponectin (APN) and leptin (LEP) secreted from adipose tissue are implicated not only in the regulation of energy metabolism, but also in the development and progression of diabetic cognitive dysfunction. APN and LEP may serve as biomarkers for diabetes-related cognitive dysfunction. They can cross the blood-brain barrier, enter the brain, and regulate multiple physiological processes such as hippocampal neurogenesis, synaptic plasticity, neuroinflammation, oxidative stress, and neuronal apoptosis by binding to the receptors on neurons or glial cells (e.g., microglia and astrocytes), and activating or inhibiting downstream intracellular signaling pathways, including p38MAPK, AMPK, ERK, JAK2/STAT3, PI3K/AKT, and SIRT1/PGC-1α, etc., and subsequently regulate cognitive function. Importantly, APN and LEP may also act as key mediators in the improvement of diabetic cognitive dysfunction by physical exercise. This study aimed to open up ideas for further enriching the theoretical system of “fat-brain” crosstalk, and developing and refining the diagnosis and treatment strategies of diabetic cognitive dysfunction through analyzing the relationship between APN or LEP and diabetic cognitive dysfunction, sorting out the underlying biological mechanism of APN and LEP regulating cognitive function, and exploring the possible mechanism of exercise-mediated APN and LEP in improving diabetic cognitive dysfunction.