Background: Neuron-derived extracellular vesicles (NDEVs) in blood may be used to derive biomarkers for the effects of exercise in Alzheimer’s disease (AD). For this purpose, we studied changes in neuroprotective proteins proBDNF, BDNF, and humanin in plasma NDEVs from patients with mild to moderate AD participating in the randomized controlled trial (RCT) of exercise ADEX. Methods: proBDNF, BDNF, and humanin were quantified in NDEVs immunocaptured from the plasma of 95 ADEX participants, randomized into exercise and control groups, and collected at baseline and 16 weeks. Exploratorily, we also quantified NDEV levels of putative exerkines known to respond to exercise in peripheral tissues. Results: NDEV levels of proBDNF, BDNF, and humanin increased in the exercise group, especially in APOE ε4 carriers, but remained unchanged in the control group. Inter-correlations between NDEV biomarkers observed at baseline were maintained after exercise. NDEV levels of putative exerkines remained unchanged. Conclusions: Findings suggest that the cognitive benefits of exercise could be mediated by the upregulation of neuroprotective factors in NDEVs. Additionally, our results indicate that AD subjects carrying APOE ε4 are more responsive to the neuroprotective effects of physical activity. Unchanged NDEV levels of putative exerkines after physical activity imply that exercise engages different pathways in neurons and peripheral tissues. Future studies should aim to expand upon the effects of exercise duration, intensity, and type in NDEVs from patients with early AD and additional neurodegenerative disorders. Trial registration: The Effect of Physical Exercise in Alzheimer Patients (ADEX) was registered in ClinicalTrials.gov on April 30, 2012 with the identifier NCT01681602. Graphical abstract: [Figure not available: see fulltext.].