In this research, we apply complexity-based techniques to study the activations of the brain while the subjects perform different types of locomotion, including walking, jogging, and running. Therefore, we can study the effect of locomotion speed (or toughness level) on brain’s reactions. For this purpose, we analyzed the fractal dimension and approximate entropy of electroencephalogram (EEG) signals recorded from subjects while they walked, jogged, and ran for 20 s in the case of each activity. The analysis of 21 recorded samples showed that the complexity of EEG signals increases by increasing the locomotion speed. This result indicates a higher level of processing in the brain while the subjects perform a harder task. This analysis can be extended to the case of other physiological signals to study the effect of the level of exercise on different organs’ activations.