Physical exercise is one of the treatment approaches with the most robust evidence against fibromyalgia (FM) symptoms. This study aimed to investigate the impact of being physically active on the Stroop Color and Word Test (SCWT) performance as well as to investigate and compare the brain electrocortical activity during SCWT. A total of 31 women completed the SCWT while EEG was recorded. People with FM were divided into two groups (physically and non-physically active) according to the WHO guidelines. Furthermore, magnetic resonance imaging was acquired and health-related quality of life, the impact of the disease, and the six-minute walking test were administered. Physically active group showed better performance in the SCWT, exhibiting less error in name different color patches condition (C), more correct responses in named color-word condition (CW) and higher interference score than non-physically active group. Moreover, a significantly higher theta power spectrum in the Fp1 during the condition C in the SCWT and a higher volume in the right rostral middle frontal gyrus have been found in the physically active group. Furthermore, physically active women with FM showed positively correlations between correct responses in names of colors printed in black condition (W) in the SCWT and theta power in the F3, Fz, Fp2 and F4 scalp positions. Regarding non-physically active women with FM, errors in condition CW negatively correlated with the volume of left superior frontal gyrus, left rostral middle frontal gyrus, right rostral middle frontal gyrus, left caudal middle frontal gyrus and right caudal middle frontal gyrus. Furthermore, physically active group showed increased performance in the 6 min walking test and lower disease impact. Fulfil the physical activity recommendation seems to protect brain health since better SCWT performance, greater frontal theta power and higher volume in the right rostral middle frontal gyrus have been found in physically active women with FM.