Health neuroscience is a new interdisciplinary field that combines theories and techniques from health psychology and cognitive and social-affective neuroscience in order to understand how the brain affects and is affected by health behaviors. Physical activity (PA) research can serve as a useful model for various ways in which the brain can be incorporated into health neuroscience studies to better understand variability in the adoption and maintenance of, as well as benefits gained from, health behaviors. Here, we summarize evidence linking PA to brain and cognitive performance from studies conceptualizing the brain as either an outcome or mediator of cognitive change. We then discuss an emerging body of studies using a brain as a predictor approach. We discuss how studies using this approach complement existing PA studies and provide insight into a major source of variability in the outcomes of PA interventions, above and beyond the variability accounted for by known biological and demographic moderators. A more complete understanding of the bidirectional relationships between brain and behaviors, such as PA, could provide valuable insight into how to tailor interventions to optimally affect individuals, identify key barriers, and inform the development of novel policies to promote public health.