This review is extensively focused on the enhancement of cognitive functions while performing physical exercises categorized into cardiovascular exercises, resistance training, martial arts, racquet sports, dancing and mind-body exercises. Imaging modalities, viz. functional magnetic resonance imaging (fMRI), functional near-infrared spectroscopy (fNIRS) and electroencephalography (EEG), have been included in this review. This review indicates that differences are present in cognitive functioning while changing the type of physical activity performed. This study concludes that employing fNIRS helps overcome certain limitations of fMRI. Further, the effects of physical activity on a diverse variety of the population, from active children to the old people, are discussed.