Underlying brain processes of exercise-related benefits on executive functions and the specific contribution of physical activity vs. aerobic fitness are poorly understood, especially during adolescence. We explored whether and how physical activity and aerobic fitness are associated with selective attention and the oscillatory dynamics induced by an anticipatory spatial cue. Further, we studied whether the link between physical exercise level and cognitive control in adolescents is mediated by the task-related oscillatory activity. Magnetoencephalographic alpha oscillations during a modified Posner’s cueing paradigm were measured in 59 adolescents (37 females and 22 males, 12 to 17 years). Accelerometer-measured physical activity and aerobic fitness (20-m shuttle run test) were used to divide the sample into higher and lower performing groups. The interhemispheric alpha asymmetry during selective attention was larger in the high than in the low physical activity group, but there was no difference between the high and low aerobic fitness groups. Exploratory mediation analysis suggested that anticipatory interhemispheric asymmetry mediates the association between physical activity status and drift rate in the selective attention task. Higher physical activity was related to increased cue-induced asymmetry, which in turn was associated with less efficient processing of information. Behaviorally, higher physically active males showed stronger dependence on the cue while higher fit females showed more efficient processing of information. Our findings suggest that physical activity may be associated with a neural marker of anticipatory attention in adolescents. These findings have implications for understanding the varying results on the association between physical activity and attention in adolescents.HIGHLIGHTSPhysical activity and aerobic fitness link differently with attention in adolescents.Higher physical activity relates with stronger cue-induced oscillatory asymmetry.Brain hemispheric interaction mediates the link between physical activity and attention.