A sedentary life style has been associated with different types of dementia in several cross sectional, longitudinal, and case-controlled studies. However, randomized controlled trials that support this relationship are rare, have rather few participants, and mainly focus on physical (usually aerobic) exercise. The benefit of an increased physical activity (PA) has been mainly demonstrated for the prevention of Alzheimer's disease and vascular dementia, less so for other dementia types such as Lewy body dementia or frontotemporal dementia. The clinical evidence builds on a significant amount of animal research pointing to potential mechanisms as to how PA relates to cognitive function. While most studies have investigated singular interventions, others have studied the combination of both mental and physical activity to improve cognition or delay decline. However, questions remain such as what type and how much PA is beneficial? This review gives an overview of the current evidence on the clinical and epidemiological level and tries to answer these questions.