Hypothalamic–pituitary–gonadal (HPG) axis dysregulation was suggested to play a crucial role in Alzheimer’s disease (AD). This study investigated the effects of exercise on HPG hormones in an AD rat model, as a possible mechanism underlying the favorable effect of exercise on AD. Forty male Wistar albino rats 2–3 months old were subdivided randomly into two groups (n = 20 each): AD group (injected intraperitoneally with aluminum chloride (70 mg/kg/day) for 6 weeks) and Control group. Each group was subdivided into exercised or non-exercised group (n = 10 each). Exercised groups were subjected to a swimming protocol (60 min/day, 5 days/week, 4 weeks). Serum HPG hormones, hippocampal β-amyloid levels and Morris water-maze cognition were assessed. Results demonstrated higher levels of β-amyloid, gonadotropin releasing hormone (GnRH), luteinizing hormone (LH) and follicle stimulating hormone (FSH) together with lower testosterone levels and cognitive impairment in the AD rats compared to controls. Β-amyloid levels negatively correlated with testosterone levels and positively correlated with GnRH, LH and FSH among the AD rats. Higher testosterone and lower GnRH, LH, FSH and β-amyloid levels, as well as cognitive improvement, were observed in the exercised compared to non-exercised AD rats, suggesting a modulatory role of exercise training on AD-associated HPG axis dysregulation.