Alzheimer’s disease (AD) is a progressive neurodegenerative disorder. The pathological changes of AD include synaptic dysfunction, neurotransmitter imbalance, neuroinflammation, deposition plaques with β Amyloid (Aβ) protein as the core in different regions of the brain, and abnormal accumulation of Tau proteins in nerve cells which form neuronal fiber tangles. If Aβ, Tau, and damaged organelles in nerve cells can’t be degraded and cleared in time, it will produce significant neurotoxicity and cause neuronal damage, leading to AD. The degradation of Aβ proteins and damaged organelles depends on the autophagy-lysosome pathway. When the degradation function of neuronal cells is abnormal, neurons are prone to accumulate abnormal proteins and damaged organelles which lead to neuronal damages. Therefore, the decrease in autophagy lysosome function and the impaired degradation of neurotoxic substances play an important role in the development of AD. Abnormal autophagy function leads to the aggregation of Aβ and Tau in neurons, leading to strong neurotoxicity and the occurrence of AD symptoms. Decrease in the number of lysosomes, abnormal lysosomal pH and decreased activities of lysosomal enzymes will lead to damage of the autophagy-lysosomal system which leads to an increase in abnormal protein aggregation and triggers AD. Exercise is the most effective non-pharmacological intervention to slow down cognitive decline in dementia patients. Exercise can quickly and safely activate the autophagy lysosomal system, improve the clearance efficiency of abnormal proteins in the central and peripheral tissues, and thereby alleviate cognitive and memory impairment in AD patients. Firstly, exercises can activate the Phosphatidylinositol 3-kinases/protein kinase B (PI3K/Akt) pathway, which will further decreased the activation of glycogen synthase kinase-3β(GSK-3β) and reverse the abnormal function of mammalian target of rapamycin (mTOR). Through this pathway, exercises will improve autophagy activity, promote the degradation and clearance of Aβ and hyperphosphorylated Tau, and alleviate AD cognitive dysfunction. In addition, exercise can also regulate the Adenosine monophosphate-activated protein kinase (AMPK) signaling pathway through an adiponectin receptor 1(AdipoR1) dependent or independent ways to enhance cell autophagy, increase the number of autolysosomes in cells, enhance lysosomal function, and improve cognition. As an effective TFEB activator, exercise can upregulate related signaling pathways by activating TFEB to promote the expression of autophagy and lysosomal genes, improve clearance efficiency of toxic proteins and damaged organelles, and reduce Aβ deposition and neuronal apoptosis to improve cognitive impairment in AD patients. Autophagy lysosomes may be a new target for treating neurodegenerative diseases such as AD which is caused by the accumulation of abnormal proteins and damaged organelles. Exercise can activate autophagy-lysosomes pathway to prevent and delay the progression of AD. This article elaborated the role of autophagy lysosome dysfunction in the occurrence and development of AD, laid out the underlying mechanism of exercise preventing Alzheimer’s disease by regulating autophagy-lysosome pathway. This review aims to provide a new strategy for the prevention and treatment of AD.