It has been shown that physical exercise is beneficial for cognition, however, the neuronal mechanism underpinning this process is not yet clear. Therefore, we investigated the correlation of brain activity during physical exercise with memory performance. Eighteen participants were asked to memorise a set of stimuli. Subsequently they either cycled on an exercise bike for 30 minutes while their EEG was recorded, or sat on the exercise bike and watched a documentary for 30 minutes. After a 1.5 hour retention interval, they were asked to perform an old/new recognition task. In addition to improvement in memory performance (exercise 71.11% vs. rest 66.67%, p=0.02), the theta band activity of the DLPFC was correlated with the enhanced performance (r=-0.48, p=0.04)