The scientific literature shows a beneficial association between active methodologies and cognitive variables in university students. The purpose of this research was to determine the relationship between active methodologies in Physical Education and attention and concentration in a group of university students A total of forty-four undergraduate students from Pontifical University of Comillas of the Balearic Islands, Palma de Mallorca, Spain, participated in the present investigation (age: 20.48 ± 1.37 years; height: 170.77 ± 9.11 cm; weight: 68.84 ± 8.29 kg; body mass index: 23.51 ± 1.54). A D2 attention test was used to analyse their selective attention and concentration. Active methodologies were used to improve the students’ physical fitness, reflected in their VO2max, which was evaluated using an incremental cycloergometer test. A correlation analysis performed between the active methodologies used to improve physical fitness measures and the D2 test revealed a negative moderate correlation between HRmax and TR, TA and TR- (r = −0.30, p = 0.04; r = −0.38, p = 0.01; and r = −0.35, p = 0.02, respectively), and a positive moderate correlation between HRmax and C (r = −0.32, p = 0.03). Finally, a negative moderate correlation was found between VT and C (r = −0.48, p = 0.001). This correlation analysis was reinforced by the results of a regression analysis. In summary, the present research revealed that university students with better aerobic fitness, achieved through active methodologies and reflected in VT and higher HRmax, obtained better values in TA, TR and C. University students should be encouraged to engage in regular physical activity through active methodologies that tend to increase physical fitness.