This review summarizes recent studies on the effect of oral NMN on the enhancement of NAD+ in vivo and the improvements in mitochondrial autophagy abnormalities in AD through aerobic exercise, focusing on (1) how oral NMN improves the internal NAD+ level; (2) how exercise regulates the content of NAD+ in the body; (3) the relationship between exercise activation of NAD+ and AMPK; (4) how SIRT1 is regulated by NAD+ and AMPK and activates PGC-1α to mediate mitochondrial autophagy through changes in mitochondrial dynamics. By summarizing the results of the above four aspects, and combined with the synthesis of NAD+ in vivo, we can infer how exercise elevates the level of NAD+ in vivo to mediate mitochondrial autophagy, so as to propose a new hypothesis that exercise interferes with Alzheimer’s disease (AD).