Various methods have been employed to investigate different aspects of brain activity modulation related to the performance of a cycling task. In our study, we examined how functional connectivity and brain network efficiency varied during an endurance cycling task. For this purpose, we reconstructed EEG signals at source level: we computed current densities in 28 anatomical regions of interest (ROIs) through the eLORETA algorithm, and then we calculated the lagged coherence of the 28 current density signals to define the adjacency matrix. To quantify changes of functional network efficiency during an exhaustive cycling task, we computed three graph theoretical indices: local efficiency (LE), global efficiency (GE), and density (D) in two different frequency bands, Alpha and Beta bands, that indicate alertness processes and motor binding/fatigue, respectively. LE is a measure of functional segregation that quantifies the ability of a network to exchange information locally. GE is a measure of functional integration that quantifies the ability of a network to exchange information globally. D is a global measure of connectivity that describes the extent of connectivity in a network. This analysis was conducted for six different task intervals: pre-cycling; initial, intermediate, and final stages of cycling; and active recovery and passive recovery. Fourteen participants performed an incremental cycling task with simultaneous EEG recording and rated perceived exertion monitoring to detect the participants’ exhaustion. LE remained constant during the endurance cycling task in both bands. Therefore, we speculate that fatigue processes did not affect the segregated neural processing. We observed an increase of GE in the Alpha band only during cycling, which could be due to greater alertness processes and preparedness to stimuli during exercise. Conversely, although D did not change significantly over time in the Alpha band, its general reduction in the Beta bands during cycling could be interpreted within the framework of the neural efficiency hypothesis, which posits a reduced neural activity for expert/automated performances. We argue that the use of graph theoretical indices represents a clear methodological advancement in studying endurance performance.