The effects of physical exercise on cognitive tasks have been investigated. However, it is unclear how different exercise intensities affect the neural activity. In this study, we investigated the neural activity in the prefrontal cortex (PFC) by varying the exercise intensity while participants performed a dual task (DT). Twenty healthy young adults performed serial subtraction while driving a cycle ergometer. Exercise intensity was set to one of three levels: low, moderate, or high intensity. We did not find any significant change in PFC activity during DT under either the control (no exercise) or low-intensity conditions. In contrast, we observed a significant increase in PFC activity during DT under moderate- and high-intensity conditions. In addition, we observed complex hemodynamics after DT. PFC activity decreased from baseline after DT under the control condition, while it increased under the low-intensity condition. PFC activity remained higher than the baseline level after DT under the moderate-intensity condition but returned to baseline under the high-intensity condition. The results suggest that moderate-intensity exercise with a cognitive load effectively increases PFC activity, and low-intensity exercise may increase PFC activity when combined with a cognitive load.