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The breakdown of the blood–brain barrier, which develops early in Alzheimer's disease (AD), contributes to cognitive impairment. Exercise not only reduces the risk factors for AD but also confers direct protection against cognitive decline. However, the exact molecular mechanisms remain elusive, particularly whether exercise can liberate the function of the blood–brain barrier. Here, we demonstrate that long‐term exercise promotes the clearance of brain amyloid‐β by improving the function of the blood–brain barrier in 5XFAD mice. Significantly, treating primary brain pericytes or endothelial cells with exosomes isolated from the brain of exercised 5XFAD mice improves cell proliferation and upregulates PDGFRβ, ZO‐1, and claudin‐5. Moreover, exosomes isolated from exercised mice exhibit significant changes in miR‐532‐5p. Administration or transfection of miR‐532‐5p to sedentary mice or primary brain pericytes and endothelial cells reproduces the improvement of blood–brain barrier function. Exosomal miR‐532‐5p targets EPHA4, and accordingly, expression of EphA4 is decreased in exercised mice and miR‐532‐5p overexpressed mice. A specific siRNA targeting EPHA4 recapitulates the effects on blood–brain barrier‐associated cells observed in exercised 5XFAD mice. Overall, our findings suggest that exosomes released by the brain contain a specific miRNA that is altered by exercise and has an impact on blood–brain barrier function in AD. [ABSTRACT FROM AUTHOR]