Epidemiological studies indicate that patients with type 2 diabetes mellitus (T2DM) are at increased risk of developing dementia/Alzheimer's disease (AD). This review, which is based on recent studies, presents a molecular framework that links the two diseases and explains how physical training could help counteract neurodegeneration in T2DM patients. Inflammatory, oxidative, and metabolic changes in T2DM patients cause cerebrovascular complications and can lead to blood-brain-barrier (BBB) breakdown. Peripherally increased pro-inflammatory molecules can then pass the BBB more easily and activate stress-activated pathways, thereby promoting key pathological features of dementia/AD such as brain insulin resistance, mitochondrial dysfunction, and accumulation of neurotoxic beta-amyloid (A beta) oligomers, leading to synaptic loss, neuronal dysfunction, and cell death. Ceramides can also pass the BBB, induce pro-inflammatory reactions, and disturb brain insulin signaling. In a vicious circle, oxidative stress and the pro-inflammatory environment intensify, leading to further cognitive decline. Low testosterone levels might be a common risk factor in T2DM and AD. Regular physical exercise reinforces antioxidative capacity, reduces oxidative stress, and has anti-inflammatory effects. It improves endothelial function and might increase brain capillarization. Physical training can further counteract dyslipidemia and reduce increased ceramide levels. It might also improve A beta clearance by up-regulating A beta transporters and, in some cases, increase basal testosterone levels. In addition, regular physical activity can induce neurogenesis. Physical training should therefore be emphasized as a part of prevention programs developed for diabetic patients to minimize the risk of the onset of neurodegenerative diseases among this specific patient group.