Background/Objectives: Acute exercise can influence executive function, but the neurophysiological responses linking exercise to cognitive change remain unclear. Functional near-infrared spectroscopy (fNIRS) provides a feasible method for assessing prefrontal oxygenation during movement-based exercise. This study examined whether prefrontal oxygenated hemoglobin (oxy-Hb) during exercise was associated with subsequent changes in inhibitory control after aerobic and game-based exercise in young adults.Methods: Twenty-four healthy young adults completed aerobic and game-based exercise conditions in a randomized, counterbalanced, within-subject design. The aerobic condition consisted of jogging, whereas the game-based condition consisted of a pickleball-based activity. Exercise intensity was monitored during both conditions. Prefrontal oxy-Hb was recorded during exercise using fNIRS, and inhibitory control was assessed before and after each condition using an Eriksen Flanker task. The primary behavioral outcome was Flanker cost improvement, and the primary fNIRS outcome was mean baseline-corrected prefrontal oxy-Hb during exercise. Results: Exercise intensity was comparable between conditions. Greater mean prefrontal oxy-Hb during exercise was significantly associated with greater improvement in Flanker cost (β = 3.71 ms per 0.01 μM, 95% CI [2.13, 5.30], p < 0.001). Game-based exercise elicited higher mean prefrontal oxy-Hb during exercise than aerobic exercise. No significant condition difference was observed for Flanker cost improvement. Conclusions: Prefrontal oxygenation during exercise was associated with subsequent improvement in inhibitory control. These findings suggest that neurophysiological responses during exercise may account for some between-person variability in acute exercise-related cognitive benefits.