Cognitive impairments are highly prevalent in Parkinson’s disease (PD) and can substantially affect a patient’s quality of life. These impairments remain difficult to manage with current clinical therapies, but exercise has been identified as a possible treatment. The objective of this systematic review was to accumulate and analyze evidence for the effects of exercise on cognition in both animal models of PD and human disease. This systematic review was conducted according to the Preferred Reporting Items for Systematic reviews and Meta-Analyses (PRISMA) statement. Fourteen original reports were identified, including six pre-clinical animal studies and eight human clinical studies. These studies used various exercise interventions and evaluated many different outcome measures; therefore, only a qualitative synthesis was performed. The evidence from animal studies supports the role of exercise to improve cognition in humans through the promotion of neuronal proliferation, neuroprotection and neurogenesis. These findings warrant more research to determine what roles these neural mechanisms play in clinical populations. The reports on cognitive changes in clinical studies demonstrate that a range of exercise programs can improve cognition in humans. While each clinical study demonstrated improvements in a marker of cognition, there were limitations in each study, including non-randomized designs and risk of bias. The Grading of Recommendations Assessment, Development and Evaluation (GRADE) system was used and the quality of the evidence for human studies were rated from “low” to “moderate” and the strength of the recommendations were rated from “weak” to “strong”. Studies that assessed executive function, compared to general cognitive abilities, received a higher GRADE rating. Overall, this systematic review found that in animal models exercise results in behavioral and corresponding neurobiological changes in the basal ganglia related to cognition. The clinical studies showed that various types of exercise, including aerobic, resistance and dance can improve cognitive function, although the optimal type, amount, mechanisms, and duration of exercise are unclear. With growing support for exercise to improve not only motor symptoms, but also cognitive impairments in PD, health care providers and policy makers should recommend exercise as part of routine management and neurorehabilitation for this disorder.