In this study, the potential of whey protein hydrolysate (WPH) containing LDIQK peptide and treadmill exercise to prevent cognitive decline was investigated along with the neuroprotective mechanisms. Cognitive dysfunction was induced in mice by 1 mg/kg scopolamine, followed by administration of WPH at 100 and 200 mg/kg and/or treadmill exercise at 15 m/min for 30 min five days per week. Both WPH administration and treadmill exercise significantly improved memory in mice with scopolamine-induced cognitive impairment, which was attributed to several key mechanisms, including a reduction in oxidative stress based on decreased levels of reactive oxygen species and malondialdehyde in the brain tissue and an increase in acetylcholine by increasing choline acyltransferase and decreasing acetylcholine esterase levels. Exercise and WPH also exerted neuroprotective effects by inhibiting the hyperphosphorylation of tau protein, enhancing the expression of brain-derived neurotrophic factor, and inhibiting apoptosis by reducing the Bax/Bcl2 ratio in conjunction with downregulation of the mitogen-activated protein kinase pathway. Moreover, the impact of WPH and treadmill exercise extended to the gut microbiome, suggesting a potential link with cognitive improvement. These findings suggest that both WPH intake and treadmill exercise are effective strategies for mitigating cognitive impairment, providing promising avenues for treating neurodegenerative diseases.