Currently, there are no effective pharmaceutical treatments to reduce cognitive decline or prevent dementia. At the same time, the global population is aging, and rates of dementia and mild cognitive impairment (MCI) are on the rise. As such, there is an increasing interest in complementary and alternative interventions to treat or reduce the risk of cognitive decline. Depression is one potentially modifiable risk factor for cognitive decline and dementia. Notably, exercise and yoga are two interventions known to both reduce symptoms of depression and improve cognitive function. The current review discusses the efficacy of exercise and yoga to ameliorate depression and thereby reduce the risk of cognitive decline and potentially prevent dementia. Potential mechanisms of change, treatment implications, and future directions are discussed.