The effect of physical exercise on mental function has been widely studied from the beginning of the 20th century. However, the contradictory findings of experimental research have led authors to identify several methodological factors to control in such studies including: (i) the nature of the psychological task; and (ii) the intensity and duration of physical exercise. The purpose of this article is to provide information, from the perspective of performance optimisation, on the main effects of physical task characteristics on cognitive performance. Within this framework, some consistent results have been observed during the last decade. Recent studies, using mainly complex decisional tasks, have provided the research community with clear support for an improvement of cognitive performance during exercise. Diverse contributing factors have been suggested to enhance cognitive efficacy. First, an increase in arousal level related to physical exertion has been hypothesised. Improvement in decisional performance has been observed immediately after the adrenaline threshold during incremental exercise. Such positive effects could be enhanced by nutritional factors, such as carbohydrate or fluid ingestion, but did not seem to be influenced by the level of fitness. Second, the mediating role of resource allocation has been suggested to explain improvement in cognitive performance during exercise. This effect highlights the importance of motivational factors in such tasks. Finally, when the cognitive performance was performed during exercise, consistent results have indicated that the dual task effect was strongly related to energetic constraints of the task. The greater the energy demand, the more attention is used to control movements.