Regular physical exercise has been shown to benefit neurocognitive functions, especially enhancing neurogenesis in the hippocampus. However, the effects of a single exercise session on cognitive functions are controversial. To address this issue, we measured hemodynamic changes in the brain during physical exercise using near-infrared spectroscopy (NIRS) and investigated related effects on memory consolidation processes. Healthy young participants underwent two experimental visits. During each visit, they performed an associative memory task in which they first encoded a series of pictures, then spent 30-min exercising or resting, and finally were asked to recall the picture associations. We used NIRS to track changes in oxygenated hemoglobin concentration over the prefrontal cortex during exercise and rest. To characterize local tissue oxygenation and perfusion, we focused on low frequency oscillations in NIRS, also called vasomotion. We report a significant increase in associative memory consolidation after exercise, as compared to after rest, along with an overall increase in vasomotion. Additionally, performance improvement after exercise correlated positively with power in the neurogenic component (0.02 to 0.04 Hz) and negatively with power in the endothelial component (0.003 to 0.02 Hz). Overall, these results suggest that changes in vasomotion over the prefrontal cortex during exercise may promote memory consolidation processes.