For cognitive processes to function well, it is essential that the brain is optimally supplied with oxygen and blood. In recent years, evidence has emerged suggesting that cerebral oxygenation and hemodynamics can be modified with physical activity. To better understand the relationship between cerebral oxygenation/hemodynamics, physical activity, and cognition, the application of state-of-the art neuroimaging tools is essential. Functional near-infrared spectroscopy (fNIRS) is such a neuroimaging tool especially suitable to investigate the effects of physical activity/exercises on cerebral oxygenation and hemodynamics due to its capability to quantify changes in the concentration of oxygenated hemoglobin (oxyHb) and deoxygenated hemoglobin (deoxyHb) non-invasively in the human brain. However, currently there is no clear standardized procedure regarding the application, data processing, and data analysis of fNIRS, and there is a large heterogeneity regarding how fNIRS is applied in the field of exercise–cognition science. Therefore, this review aims to summarize the current methodological knowledge about fNIRS application in studies measuring the cortical hemodynamic responses during cognitive testing (i) prior and after different physical activities interventions, and (ii) in cross-sectional studies accounting for the physical fitness level of their participants. Based on the review of the methodology of 35 as relevant considered publications, we outline recommendations for future fNIRS studies in the field of exercise–cognition science.