Evidence suggests that physical activity (PA) exerts beneficial effects on neurodegenerative processes, either as symptomatic relief or disease-modifying strategy. Actually, it may represent a viable neuroprotective intervention in Parkinson's disease dementia (PDD), a severe, frequent, and untreatable complication of Parkinson's disease (PD). According to such hypothesis, this cross-sectional study tested, in PD patients, the association between levels of PA and well-known risk factors for PDD, such as mood disorders and amyloid-β42 CSF content. Amount of PA was measured by the International Physical Activity Questionnaires-Short Form (IPAQ-SF) in 128 cognitively intact PD patients and correlated with the Hamilton-Depression (HAM-D) and the Hamilton-Anxiety (HAM-A) scores; in a homogenous subgroup of 40 patients, it was further correlated with a panel of CSF biomarkers, including amyloid-β42, total α-synuclein, total, and phosphorylated tau. The statistical model was corrected for the main potential confounding factors (motor impairment, dopaminergic treatment, disease duration, age, and sex). Both the HAM-A and HAM-D scores, as well as the Aβ42 CSF content, improved in parallel with the increase of the total week amount of PA. Although with several limitations, we preliminarily demonstrated that a high level of PA is associated with a more favourable profile of PDD risk factors, in terms of both mood disturbances and CSF markers of neurodegeneration. However, confirmative studies are necessary to validate the efficacy of PA as protective intervention for PDD.