Some electroencephalographic measures have been used to establish the relationship among cortical activity, exercise and mood, such as asymmetry, absolute and relative power. The purpose of this study is to investigate how changes in cortical activity influence mood state induced by exercise. The structure of the methods in this study will follow the proposals of Preferred Reporting Items is Systematic reviews and Meta-Analyses. The studies were retrieved from a MEDLINE/PubMed, ISI Web of Knowledge and SciELO. Search was conducted in all databases using the following terms: EEG asymmetry, sLORETA, exercise, with affection, mood and emotions. Based on the defined criteria, a total of 727 articles were found in the search conducted in the literature (666 in Pubmed, 54 in ISI Web of Science, 2 in SciELO and 5 in other data sources). Thus, 11 studies were selected which were properly met the criteria for this review. Nine out of 11 studies found used the frontal asymmetry, four utilized absolute and relative power and one used sLORETA. With regard to changes in cortical activity and mood induced by exercise, six studies attributed this result to the different intensities, one to duration, one to type of exercise and one fitness level. In general, EEG measures showed contradictory evidence of its ability to predict or modulate psychological mood states through exercise intervention.