This study investigated the effects of passive heat exposure on pre-frontal cortex oxygenation and cognitive functioning, specifically to examine whether the change in pre-frontal cortex oxygenation coincided with cognitive functioning during heat exposure. Eleven male students who participated in this study immersed their lower legs to the knees in three different water temperatures, 38 °C, 40 °C, and 42 °C water in an air temperature of 28 º C and 50 % relative humidity for 60 min. After 45 min of leg immersion they performed cognitive functioning tasks assessing their short-term memory while immersing their lower legs. There were higher rectal temperature (P < 0.05) and higher increase of oxyhemoglobin in both left (P < 0.05) and right (P < 0.05) pre-frontal cortex at the final stage of 45-min leg immersion in the 42 °C condition with unaltered tissue oxygenation index among the three conditions (P > 0.05). No statistical difference in cognitive functioning among the three conditions was observed with a higher increase of oxyhemoglobin during the cognitive functioning in the 42 °C condition for the left (P = 0.05) and right (P < 0.05) pre-frontal cortex. The findings of this study suggest, first, passive heat exposure increases oxygen delivery in the pre-frontal cortex to maintain pre-frontal cortex oxygenation; second, there is no evidence of passive heat exposure in cognitive functioning in this study; and third, the greater increases of oxyhemoglobin in the pre-frontal cortex during cognitive functioning at the hottest condition suggests a recruitment of available neural resources or greater effort to maintain the same performance at the same level as when they felt thermally comfortable.