Background: Neuroinflammation is recognized as part of the pathological progression of Alzheimer's disease (AD), but the molecular mechanisms are still not entirely clear. Systemically, physical exercise has shown to have a positive modulating effect on markers of inflammation. It is not known if this general effect also takes place in the central nervous system in AD. The aim of this study was to investigate the effect of 16 weeks of moderate to high-intensity physical exercise on selected biomarkers of inflammation both systemically and in the CNS, in patients with AD. Methods: Plasma and cerebrospinal fluid (CSF) from 198 patients with Alzheimer's disease participating in the Preserving Cognition, Quality of Life, Physical Health and Functional Ability in Alzheimer's Disease: The Effect of Physical Exercise (ADEX) study were analyzed for concentrations of 8‑isoprostane, soluble trigger receptor expressed on myeloid cells 2 (sTREM2), and the MSD v-plex proinflammation panel 1 human containing interferon gamma (IFNγ), Interleukin-10 (IL10), IL12p70, IL13, IL1β, IL2, IL4, IL6, IL8, and tumor necrosis factor alpha (TNFα), before and after a 16-week intervention with physical exercise, and we studied whether changes were modulated by the patients' APOE genotype. Results: Most inflammatory markers remained unchanged after exercise. We found an increasing effect of 16 weeks of physical exercise on sTREM2 measured in CSF. Further, IL6 in plasma increased in the exercise group after physical exercise (mean relative change 41.03, SD 76.7), compared to controls (−0.97, SD 49.4). In a sub-analysis according to APOE genotype, we found that in ε4 carriers, exercise had a stabilizing effect on IFNγ concentration with a mean relative change of 7.84 (SD 42.6), as compared to controls (114.7 (SD 188.3), p = 0.038. Conclusion: Our findings indicate an effect of physical exercise on markers of neuroinflammation in CSF measured by an increase in sTREM2 in patients with AD. Further, there may be a small inflammatory systemic effect related to physical exercise in patients with AD.