Sundowning syndrome (SDS) in patients with Alzheimer’s disease (AD) is characterized by the intensification of behavioral disorders at sunset. Despite SDS etiology being unclear, a strong relationship between high cortisol levels and SDS has been reported. Aerobic exercise (AE) and cognitive training (CT) can reduce cortisol levels. However, whether SDS would benefit from AE and CT is still unknown. Therefore, the aim of this study was to investigate whether AE and CT treatments are effective in reducing SDS via downregulation of cortisol levels. The possible additive effects of combined AE+CT were also assessed. Eighty AD patients were randomly assigned to AE (n = 20), CT (n = 20), AE+CT (n = 20), and standard therapy (no treatment, NT; n = 20). Treatments were administered for 3 months, 5 days/week, 1 hour before sunset. Before and after treatments, salivary cortisol levels were sampled at 7, 11, 15, at sunset, and 20 (time of day). Blind assessment of behavioral disorders (neuropsychiatric inventory, NPI) and agitation (agitated behavior scale, ABS) were also performed. After interventions, cortisol levels were reduced in AE and AE+CT by ∼26%. In the same groups, NPI and ABS decreased by ∼50%. By contrast, cortisol and behavioral disorders were similar to baseline in CT and NT. Changes in NPI and ABS were significantly correlated with the reduction in cortisol levels. AE or AE+CT effects on SDS and cortisol levels and the lack of effect of CT alone indicate the effectiveness of an exercise-based treatment on SDS, suggesting a possible hypothalamic–pituitary–adrenal axis dysregulation underpinning SDS.