The aim of this study was to examine whether cortical activity changes during exercise with increasing cognitive demands in preadolescent children. Twenty healthy children (8.75 [0.91]y) performed one movement game, which was conducted with lower and higher cognitive demands. During a baseline measurement and both exercise conditions, cortical activity was recorded using a 64-channel electroencephalographic system, and heart rate was assessed. Ratings of perceived excertion and perceived cognitive engagement were examined after each condition. To analyze power spectral density in the theta, alpha-1, and alpha-2 frequency bands, an adaptive mixture independent component analysis was used to determine the spatiotemporal sources of cortical activity, and brain components were clustered to identify spatial clusters. One-way repeated-measures analyses of variance revealed significant main effects for condition on theta in the prefrontal cluster, on alpha-1 in the prefrontal, central, bilateral motor, bilateral parieto-occipital, and occipital clusters, and on alpha-2 in the left motor, central, and left parieto-occipital clusters. Compared with the lower cognitive demand exercise, cortical activity was significantly higher in theta power in the prefrontal cluster and in alpha-1 power in the occipital cluster during the higher cognitive demand exercise. The present study shows that exercise complexity seems to influence cortical processing as it increased with increasing cognitive demands.