HIV infection affects a significant number of people around the world. Despite advances in treatment, with the development and improvement of antiretroviral therapy (ART), which has provided a significant improvement in the quality of life and survival of people living with HIV (PLHIV), infection by the virus continues to be a major challenge in health at a global level. Although the infection is characterized by the impairment of the immune system, in recent decades, studies on the impairment of the central nervous system (CNS) by HIV have been the subject of research. Studies indicate that the virus can overcome the blood-brain barrier, causing cognitive damage capable of impairing memory, attention, language, executive and sensorimotor functions, and may evolve into dementia associated with HIV. Physical activity, specifically physical exercise, has been shown to be an effective strategy to prevent cognitive decline in other populations. In PLHIV, the best effects are related to moderate to vigorous intensities of physical exercise on other health parameters; however, there is still no consensus regarding these effects on cognitive parameters. Through a literature review, this chapter sought to report the main mechanisms through which HIV infects the CNS, point out the main results regarding the effect of physical exercise on cognitive function in PLHIV, and present new perspectives on physical exercise for this population.