Introduction: Differences in cognitive performance with exercise between men and women have previously been reported. In this study, we evaluated between-sex differences in oxygenation of the prefrontal cortex (PFC) with moderate-intensity aerobic exercise (AE), which could contribute to noted differences in cognitive function. Method: The subjects were ten men (age, 21.5 ± 0.5 years; height, 171.7 ± 4.8 cm; weight, 65.6 ± 5.6 kg) and ten women (age, 21.4 ± 0.5 years; height, 157.6 ± 4.9 cm; weight, 51.3 ± 6.5 kg). They completed our AE protocol, consisting of a 30-min leg-ergometer cycling at an intensity of 50% peak oxygen uptake, with an initial 4-min rest period for baseline measurement. Measures of the dynamics of cerebral oxygenation included: oxygenated hemoglobin (O2Hb) in the left and right PFC (LR-PFC) and deoxygenated hemoglobin (HHb). The 30-min exercise period was subdivided into six 5-min phases, with the average and peak values determined in each phase. Results: A significant interaction was found between LR-PFC HHb and sex (p < 0.001), with significantly higher values in men than in women in phases 3–6 (p < 0.05). Conclusion: We report a significant sex effect of HHb in the LR-PFC.