In this chapter we review recent work from the realms of neuroscience and neuropsychology to explore the brain mechanisms that underlie the effects of music on exercise. We begin with an examination of the technique of electroencephalography (EEG), which has proven popular with researchers in this domain. We go on to appraise work conducted with the use of functional magnetic resonance imaging (fMRI) and then, looking more toward the future, we consider the application of functional near-infrared spectroscopy (fNIRS) to study brain hemodynamics. The experimental findings expounded herein indicate that music has the potential to guide attention toward environmental sensory cues and prevent internal, fatigue-related signals from entering focal awareness. The brain mechanisms underlying such effects are primarily associated with the downregulation of theta waves across the cortex surface, reduction of communication among somatosensory regions, and increased activation of the left inferior frontal gyrus. Taken holistically, research in this subfield of exercise psychology demonstrates a vibrant and reflexive matrix of attentional, emotional, behavioral, physiological, and psychophysiological responses to music across a variety of exercise modalities and intensities. The emergent hypotheses that we propose can be used to frame future research efforts.