Cardiovascular and cerebrovascular diseases are prevalent in individuals with type 2 diabetes (T2D). Among people with T2D aged over 70 years, up to 45% might have cognitive dysfunction. Cardiorespiratory fitness (V˙O2max) correlates with cognitive performances in healthy younger and older adults, and individuals with cardiovascular diseases (CVD). The relationship between cognitive performances, V˙O2max, cardiac output and cerebral oxygenation/perfusion responses during exercise has not been studied in patients with T2D. Studying cardiac hemodynamics and cerebrovascular responses during a maximal cardiopulmonary exercise test (CPET) and during the recovery phase, as well as studying their relationship with cognitive performances could be useful to detect patients at greater risk of future cognitive impairment. Purposes: (1) to compare cerebral oxygenation/perfusion during a CPET and during its post-exercise period (recovery); (2) to compare cognitive performances in patients with T2D to those in healthy controls; and (3) to examine if V˙O2max, maximal cardiac output and cerebral oxygenation/perfusion are associated with cognitive function in individuals with T2D and healthy controls. Nineteen patients with T2D (61.9 ± 7 years old) and 22 healthy controls (HC) (61.8 ± 10 years old) were evaluated on the following: a CPET test with impedance cardiography and cerebral oxygenation/perfusion using a near-infrared spectroscopy. Prior to the CPET, the cognitive performance assessment was performed, targeting: short-term and working memory, processing speed, executive functions, and long-term verbal memory. Patients with T2D had lower V˙O2max values compared to HC (34.5 ± 5.6 vs. 46.4 ± 7.6 mL/kg fat free mass/min; p < 0.001). Compared to HC, patients with T2D showed lower maximal cardiac index (6.27 ± 2.09 vs. 8.70 ± 1.09 L/min/m2, p < 0.05) and higher values of systemic vascular resistance index (826.21 ± 308.21 vs. 583.35 ± 90.36 Dyn·s/cm5·m2) and systolic blood pressure at maximal exercise (204.94 ± 26.21 vs. 183.61 ± 19.09 mmHg, p = 0.005). Cerebral HHb during the 1st and 2nd min of recovery was significantly higher in HC compared to T2D (p < 0.05). Executive functions performance (Z score) was significantly lower in patients with T2D compared to HC (−0.18 ± 0.7 vs. −0.40 ± 0.60, p = 0.016). Processing speed, working and verbal memory performances were similar in both groups. Brain tHb during exercise and recovery (−0.50, −0.68, p < 0.05), and O2Hb during recovery (−0.68, p < 0.05) only negatively correlated with executive functions performance in patients with T2D (lower tHb values associated with longer response times, indicating a lower performance). In addition to reduced V˙O2max, cardiac index and elevated vascular resistance, patients with T2D showed reduced cerebral hemoglobin (O2Hb and HHb) during early recovery (0–2 min) after the CPET, and lower performances in executive functions compared to healthy controls. Cerebrovascular responses to the CPET and during the recovery phase could be a biological marker of cognitive impairment in T2D.