Adaptively changing between different tasks while in locomotion is a fundamental prerequisite of modern daily life. The cognitive processes underlying dual tasking have been investigated extensively using EEG. Due to technological restrictions, however, this was not possible for dual-task scenarios including locomotion. With new technological opportunities, this became possible and cognitive-motor interference can be studied, even in outside-the-lab environments. In the present study, participants carried out a cognitive-motor interference task as they responded to cued, auditory task-switch stimuli while performing locomotive tasks with increasing complexity (standing, walking, traversing an obstacle course). We observed increased subjective workload ratings as well as decreased behavioural performance for increased movement complexity and cognitive task difficulty. A higher movement load went along with a decrease of parietal P2, N2 and P3 amplitudes and frontal Theta power. A higher cognitive load, on the other hand, was reflected by decreased frontal CNV amplitudes. Additionally, a connectivity analysis using inter-site phase coherence revealed that higher movement as well as cognitive task difficulty had an impairing effect on fronto-parietal connectivity. In conclusion, subjective ratings, behavioural performance and electrophysiological results indicate that less cognitive resources were available to be deployed towards the execution of the cognitive task when in locomotion compared to standing still. Connectivity results also show a scarcity of attentional resources when switching a task during the highest movement complexity condition. Summarized, all findings indicate a central role of attentional control regarding cognitive-motor dual tasking and an inherent limitation of cognitive resources.