In the scientific literature focused on surface electromyography (sEMG) and functional near-infrared spectroscopy (fNIRS), which have been described together and separately many times, presenting different possible applications, researchers have explored a diverse range of topics related to these advanced physiological measurement techniques. However, the analysis of the two signals and their interrelationships continues to be a focus of study in both static and dynamic movements. The main purpose of this study was to determine the relationship between signals during dynamic movements. To carry out the analysis described, the authors of this research paper chose two sports exercise protocols: the Astrand–Rhyming Step Test and the Astrand Treadmill Test. In this study, oxygen consumption and muscle activity were recorded from the gastrocnemius muscle of the left leg of five female participants. This study found positive correlations between EMG and fNIRS signals in all participants: 0.343–0.788 (median-Pearson) and 0.192–0.832 (median-Spearman). On the treadmill, the signal correlations between the participants with the most active and least active lifestyle achieved the following medians: 0.788 (Pearson)/0.832 (Spearman) and 0.470 (Pearson)/0.406 (Spearman), respectively. The shapes of the changes in the EMG and fNIRS signals during exercise suggest a mutual relationship during dynamic movements. Furthermore, during the treadmill test, a higher correlation was observed between the EMG and NIRS signals in participants with a more active lifestyle. Due to the sample size, the results should be interpreted with caution.