In recent years, the link between cognitive function and exercise performance has garnered significant interest among researchers aiming to unravel how individuals regulate their exercise behavior. This chapter delves into the core cognitive components that influence exercise performance, including inhibitory control, working memory, and cognitive flexibility. We explore the psychophysiological changes that occur during aerobic exercise sessions, emphasizing how these changes relate to cognitive control abilities and exercise intensity. Finally, we present compelling evidence on how an individual’s capacity to process sensory information impacts their exercise performance, offering deeper insights into the intricate interplay between the mind and physical activity.