The present research programme sought to further understanding of the neurophysiological mechanisms that underlie the effects of music on exercise. Five original experiments were conducted using a wide range of psychophysical, psychological, physiological, and psychophysiological techniques. The results of the first study indicated that music partially reallocates attention towards task-unrelated thoughts (i.e., external dissociation), suppresses the amplitude of low-frequency waves in the brain, and enhances task performance. The findings of the second study indicated that music can have a negative effect if delivered during the execution of highly-demanding cognitive-motor tasks. In such instances, the right parietal regions of the brain activate in response to the presence of auditory distractors and prevent task performance from being compromised. The third study shed new light on the neural control of working muscles and indicated that music has the potential to reduce the frequency of electrical outputs emitted to the musculature and reduce the communication between the central motor command and adjacent regions. The fourth study of this research programme was conducted in an ecologically valid environment, wherein participants walked at self-paced speeds in the presence of different auditory stimuli. The results of the fourth study indicated that music elicits more positive affective responses and up-regulates beta waves to a greater degree than no-music conditions. Finally, the fifth study of this thesis made use of functional magnetic resonance imaging to explore the brain regions that activate in response to exercise and music. The results of this final study revealed that the left inferior frontal gyrus is highly active when individuals execute part-body exercises with music. The present research programme provides a neurophysiological basis for the use of music in exercise settings. The findings presented herein support the use of music as a valuable tool to explore more complex psychophysiological phenomena such as attention, affect, and fatigue.