The new study, from UCLA Medical Centre and University of Pittsburgh, was published today (11 March) in the Journal of Alzheimer's Disease.
The researchers studied 876 patients aged on average 78, across four research sites in the United States. Participants were asked questions about their physical activity habits and had MRI scans of their brains, which were analysed to measure the volumes of brain structures including parts associated with memory and Alzheimer's disease.
The relationship between physical activities, from gardening and dancing to riding an exercise bike at the gym, were compared to the brain's volume.
Results suggested physically active older people have more gray matter in key brain areas responsible for memory and cognition. They also found that people who had Alzheimer's disease or mild cognitive impairment lost less gray matter over time if they burnt a high number of calories through exercise.
The journal's editor, Dr George Perry, said lifestyle interventions including more exercise hold the most promise for Alzheimer's disease research.
He called the research "a landmark study that links exercise to increases in gray matter and opens the field of lifestyle intervention to objective biological measurement."
Dr Doug Brown, director of research and development at Alzheimer's Society, said: "Previous research has shown that as well as boosting your overall health, exercise may help to improve some of the underlying causes of Alzheimer's disease. This paper adds to this body of evidence by suggesting that different kinds of exercise can have a positive effect on the brain. However, we need dig deeper to understand how this effect on the brain influences dementia risk.
"Keeping physically active is one of the best ways you can reduce your risk of dementia. People who find the idea of running or cycling a long way daunting will be pleased to see that other forms of activity such as dancing, gardening and hiking also appear to have benefits. Other ways you can reduce your risk include avoiding smoking and eating a healthy, balanced diet."