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Patients with type 2 diabetes mellitus (T2DM) face a significantly elevated risk of developing cognitive impairment (CI), which has been recognized as an independent risk factor for dementia. Current glucose-lowering medications are limited by poor central nervous system penetration, delayed intervention, and single-target approaches, highlighting an urgent need for safe and effective complementary strategies. Exercise therapy, leveraging its advantage in "metabolic-neural bidirectional regulation," demonstrates considerable potential in ameliorating T2DM-related CI. This article systematically reviews basic and clinical research from the past decade, revealing that: ① Aerobic exercise, Tai Chi, and dual-task training can all significantly improve global cognitive scores (MoCA, MMSE), with effect sizes increasing over longer intervention periods; ② Tai Chi yields the most comprehensive benefits in memory, executive function, and balance-fall prevention, with an adherence rate as high as 79.6%; ③ Exercise exerts its effects through multi-target mechanisms, including upregulation of BDNF/IGF-1, suppression of IL-6/TNF-α, restoration of blood-brain barrier integrity, remodeling of the gut microbiota-butyrate-brain axis, and enhancement of mitophagy. Future research should focus on large-sample, multi-center, long-term follow-up studies to establish personalized exercise prescriptions based on genetic-metabolic-microbiota profiles. Integrating digital health technologies will enable remote monitoring and precise implementation, thereby providing an evidence-based foundation for constructing an integrated "metabolic-cognitive" prevention and treatment model.