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Abstract Training studies typically investigate the cumulative rather than the analytically challenging immediate effect of exercise on cognitive outcomes. We investigated the dynamic interplay between single‐session exercise intensity and time‐locked recognition speed‐accuracy scores in older adults with Alzheimer's dementia (N = 17) undergoing a 24‐week dual‐task regime. We specified a state‐of‐the‐art hierarchical Bayesian continuous‐time dynamic model with fully connected state variables to analyze the bi‐directional effects between physical and recognition scores over time. Higher physical performance was dynamically linked to improved recognition (−1.335, SD = 0.201, 95% Bayesian credible interval [BCI] [−1.725, −0.954]). The effect was short‐term, lasting up to 5 days (−0.368, SD = 0.05, 95% BCI [−0.479, −0.266]). Clinical scores supported the validity of the model and observed temporal dynamics. Higher physical performance predicted improved recognition speed accuracy in a day‐by‐day manner, providing a proof‐of‐concept for the feasibility of linking exercise training and recognition in patients with Alzheimer's dementia. Highlights Hierarchical Bayesian continuous‐time dynamic modeling approach A total of 72 repeated physical exercise (PP) and integrated recognition speed‐accuracy (IRSA) measurements PP is dynamically linked to session‐to‐session variability of IRSA Higher PP improved IRSA in subsequent sessions in subjects with Alzheimer's dementia Short‐term effect: lasting up to 4 days after training session