Background: Emerging research highlights the potential cognitive benefits of physical fitness programs for schizophrenia. Physical exercise (PE) is a safe, nonstigmatizing, and side effect-free intervention that has the potential to mitigate neurocognitive dysfunction in psychosis. To date, only two recent studies have explored the possibility of combining PE and cognitive training therapy (CT). While both studies found a signal showing that combining PE and CT may improve cognition more than CT alone, the conclusions were limited by lack of randomization, no examination of biological factors, no study arm with PE only, low power due to small sample size (N < 22), or significant attrition during the physical exercise intervention (i.e., only 75% completed the PE regimen). Methods: In our randomized pilot with 82 outpatients, we examined the individual and synergistic effects of PE and/or CT using treatments designed to improve motivation for treatment and retain patients for the entire PE (and CT) intervention. This 3-arm study employed a self-determined PE regimen intended to improve motivation for exercising and neurofeedback-aided CT that monitored a biophysiologic gauge of motivation to maximize cognitive gains. Participants were allocated to 18 hours of either: (A) PE regimen where patients chose from a menu of activities for 12 weeks with each activity designed so participants would reach volitional exhaustion—a commonly accepted physiological gauge of strenuous exercise—at least twice per week; (B) tablet-based neurofeedback CT focused on processing speed and working memory, or (C) a combination of PE and CT, matched for total duration and treatment time. Assessments of cognition and symptoms were conducted at baseline, post (3 months), and follow-up (5 montha). Results: At post, all three groups showed significant improvements in working memory, with the PE group surpassing the other two in working memory and processing speed improvements. However, at 2-month follow-up, gains in the PE only group disappeared, and it was the PE+CT group that showed significant improvements in both cognition and negative symptoms. Notably, attrition for all three groups was only 4%–7% and even those with low baseline motivation attended as many sessions as those with high motivation while both saw improvements in cognition and negative symptoms. Conclusion: This pilot is the first study to show that combining PE and CT leads to lasting effects that are superior to those of either intervention alone. Moreover, our approach to PE and CT was well tolerated, and the low dropout rate may have further maximized the benefits of both types of interventions.