Introduction: Physical exercise has been associated with improvement of quality of live (QoL), but its effect among the elderly with depression and Alzheimer's disease (AD) is still unclear. This systematic review evaluated randomized and controlled studies about the effect of physical exercise on QoL of older individuals with a clinical diagnosis of depression and AD. Methods: We searched PubMed, ISI, SciELO and Scopus from December 2011 to June 2013 using the following keywords: physical exercise, quality of life, elderly, depression, Alzheimer's disease. Only six studies met inclusion criteria: two examined patients with AD and four, patients with depression. Results: The studies used different methods to prescribe exercise and evaluate QoL, but all had high quality methods. Findings of most studies with individuals with depression suggested that exercise training improved QoL, but studies with patients with AD had divergent results. Conclusions: Although different methods were used, results suggested that physical exercise is an effective nonpharmacological intervention to improve the QoL of elderly individuals with depression and AD. Future studies should investigate the effect of other factors, such as the use of specific scales for the elderly, controlled exercise prescriptions and type of control groups.