Near-infrared spectroscopy (NIRS) presents an appealing option for investigating hemodynamic changes in the cerebral cortex during exercise. This review examines the physical basis of NIRS and the types of available instruments. Emphasis is placed on the physiological interpretation of NIRS signals. Theories from affective neuroscience and exercise psychobiology, including Davidson's prefrontal asymmetry hypothesis, Dietrich's transient hypofrontality hypothesis, and Ekkekakis's dual-mode model, are reviewed, highlighting the potential for designing NIRS-based tests in the context of exercise. Findings from 28 studies involving acute bouts of exercise are summarized. These studies suggest that the oxygenation of the prefrontal cortex increases during mild-to-moderate exercise and decreases during strenuous exercise, possibly proximally to the respiratory compensation threshold. Future studies designed to test hypotheses informed by psychological theories should help elucidate the significance of these changes for such important concepts as cognition, affect, exertion, and central fatigue.