Investigators of brain electrocortical responses to exercise have interpreted increased activity, or frontal hemispheric asymmetry, in the alpha frequency band as indicative of relaxation or a change in affect. However, few studies compared alpha activity with other frequencies and within or across hemispheres. To clarify the cumulative evidence in this area, we provide a quantitative review of the effects of exercise on brain electrocortical activity according to frequency bands and recording sites. Fifty-eight effects from 18 studies and 282 participants were retrieved. The mean effect size was moderately large (0.54 SD, 95% CI: 0.43 to 0.65) but heterogeneous. Compared to before exercise, alpha activity was greater immediately after and during exercise when expressed as absolute power but not as relative to power in other frequency bands; delta, theta, and beta activity also increased (0.38 to 0.75 SD). Effects did not differ significantly by recording sites. The cumulative evidence does not indicate that change in brain electrocortical activity after exercise is specific to alpha activity or hemispheric site.