The most prevalent type of dementia, Alzheimer's disease (AD), is a compelling illustration of the link between cognitive deficits and neurophysiological anomalies. We investigated the possible protective effect of intranasal insulin intake with exercise on amyloid-β (Aβ)-induced neuronal damage. The level of hippocampal brain-derived neurotrophic factor (BDNF) and tropomyosin-related kinase B (TrkB) were analyzed to understand the involvement of BDNF-TrkB pathway in this modulation. In this study, we induced AD-like pathology by amyloid-β (Aβ) administration. Then, we examined the impact of a 4-week pretreatment of moderate treadmill exercise and intranasal intake of insulin on working and spatial memory in male Wistar rats. We also analyzed the mechanisms of improved memory and anxiety through changes in the protein level of BDNF and TrkB. Results showed that animals received Aβ had impaired working memory, increased anxiety which were accompanied by lower protein levels of BDNF and TrkB in the hippocampus. The exercise training and intranasal insulin improved working memory deficits, decreased anxiety, and increased BDNF, and TrkB levels in the hippocampus of animals received Aβ. Our finding of improved memory performance after intranasal intake of insulin and exercise may be of significance for the treatment of memory impairments and anxiety-like behavior in AD.