Cognitive impairment is common in severe obesity. Lack of physical activity is a likely contributor to impairment in this population, as many obese persons are inactive and physical activity has been positively and independently associated with cognitive function in healthy and medically-ill samples. This study investigated whether physical activity, measured by self-report of aerobic physical activity in 85 bariatric surgery candidates, was associated with cognitive function. A subset of 31 participants also completed objective activity monitoring. Steps/d and high-cadence min/week, representative of ambulatory moderate to vigorous physical activity (MVPA), were calculated. Approximately one quarter of participants self-reported at least 30 min/d of aerobic MVPA, at least 5 d/week. Median steps/d was 7949 (IQR = 4572) and median MVPA min/week was 105 (IQR = 123). Cognitive deficits were found in 32% of participants (29% memory, 10% executive function, 13% language, 10% attention). Controlling for demographic and medical factors, self-reported aerobic physical activity was weakly correlated with lower attention (r = -0.21, p = 0.04) and executive function (r = -0.27, p < 0.01) and both self-reported aerobic physical activity and objectively-determined MVPA min/week were negatively correlated with memory (r = -0.20, p = 0.04; r = -0.46; p = 0.02, respectively). No other correlations between physical activity measures and cognitive function were significant. Contrary to expectations, greater levels of physical activity were not associated with better cognitive functioning. Such findings encourage future studies to clarify the association among cognitive function and physical activity in obese persons.