This study investigated the single and combined effects of environmental heat stress and physical exercise on executive function (EF) performance, prefrontal cortex oxygenation, thermoregulatory responses and subjective perceptions. Sixteen subjects participated in four experimental sessions: two under moderate environmental conditions (23 °C), with and without physical exercise (R23, E23), and two under hot environmental conditions (35 °C), with and without physical exercise (R35, E35). In each session, participants completed EF tasks before and after 1 h of passive rest or 45 min of moderate-intensity cycling followed by 15 min of rest. We used Δresponse time (ΔRT) and Δaccuracy (ΔACC) of EF tasks to demonstrate changes from pre to post experiment. Additionally, changes in cerebral oxygenation during EF tasks were illustrated using the Δoxygenation difference. Heat stress alone increased core temperature (T