Given the extensive neural networks connecting the dorsolateral prefrontal cortex (DLPFC) with other subcortical regions, the DLPFC has been implicated in a wide range of psychological and physiological functions during execution of movements. The main objective of this narrative review is to provide a solid theoretical foundation to deepen our understanding of the functional significance of the DLPFC during exercise. Given the limited scientific evidence in this field of scientific enquiry, this review was primarily focused on fatiguing and exhaustive exercise modes. The authors reviewed the anatomical structure of this region, as well as its functional importance for physical tasks performed mainly at moderate and high intensities. The majority of the studies employed noninvasive brain assessment techniques, such as electroencephalography, functional near-infrared spectroscopy, and functional magnetic resonance imaging. Six main DLPFC functions were identified: 1) exercise tolerance, 2) executive function, 3) attention allocation, 4) emotion regulation, 5) reward seeking, and 6) memory formation. The most important neuromodulatory function exerted by the DLPFC pertains to the inhibitory influence of this region over the amygdala and the hypothalamic-pituitary-adrenal axis. This inhibitory function appears to be the primary possibility and is generally reliant upon connectivity with other subcortical regions. During exhaustive exercise, stress hormones appear to have an inhibitory effect on the DLPFC and hippocampus. The present authors hypothesize that the use of cognitive strategies to partially neutralize the amygdala may rely on the presence of rewards, which are then translated into motivation to action through the mesolimbic and mesocortical dopamine systems.