Exercise physically changes your brain and the more you exercise the stronger those positive changes become. After you exercise, the levels of serotonin and dopamine increase in your brain- this is one reason why you feel amazing after you exercise- it releases those feel good neurotransmitters. Exercise also stimulates the production of a protein called Brain Derived Neurotropic Factor or BDNF for short. This amazing protein helps you to form stronger neural connections.
While you cannot 100% protect yourself from developing dementia, by exercising you can build a stronger brain, with a bigger hippocampus and prefrontal cortex (as these two brain areas are really vulnerable to age related cognitive decline *see the next topic for an very interesting study)- and in doing this you might be able to halt the progression of Alzheimer’s disease or delay it’s onset- although the jury is still out on this.