During the last 30 years, a large number of behavioral studies have investigated the effect of simultaneous exercise on cognitive functions. The heterogeneity of the results has been attributed to different parameters, such as intensity or modality of physical activity, and the investigated cognitive processes. More recent methodological improvements have enabled to record electroencephalography (EEG) during physical exercise. EEG studies combining cognitive tasks with exercise have described predominantly detrimental effects on cognitive processes and EEG parameters. However, differences in the underlying rationale and the design of EEG versus behavioral studies make direct comparisons between both types of studies difficult. In this narrative review of dual-task experiments we evaluated behavioral and EEG studies and discuss possible explanations for the heterogeneity of results and for the discrepancy between behavioral and EEG studies. Furthermore, we provide a proposal for future EEG studies on simultaneous motion to be a useful complement to behavioral studies. A crucial factor might be to find for each cognitive function the motor activity that matches this function in terms of attentional focus. This hypothesis should be investigated systematically in future studies.