The improvement of exercise performance encountered in sports not only represents the enhancement of physical strength but also includes the development of psychological and cognitive functions. Accumulating evidence has showed that physical exercise is a powerful way to improve anumber of aspects of cognition and brain functions at the system and behavioral levels. Yet, several questions remain: what type of exercise program is the most optimal for improving cognitive functions? What are the real effects of some innovative exercise protocols on the relationship between behavior and the brain? To what extent do ergogenic aids boost cognitive functions? What about the efficacy of neuromodulation techniques on behavioral performance? Answers likely require combined insights not only from physiologists and sports scientists, but also from neuroscientists and psychologists. Published manuscripts (sixteen research papers and one perspective article from various academic fields) within this Special Issue “Studying Brain Activity in Sports Performance” did bring novel knowledge and new directions in human exercise-cognition research dealing with performance. Here, we summarize the main insights provided by the contributions and showcase the multiple relationships between cognitive functions, brain activity, and behavioral performance with applications in sports and exercise science.