Exercise in hypoxia places added demands on the brain and cerebrovasculature that can impact cognitive function. The purpose of this study was to investigate the effect of acute hypoxia on cerebrovascular hemodynamics, markers of neuro-steroidal modulation and brain-blood barrier (BBB) integrity, and cognition during exercise. Thirty healthy participants (21 ± 4 yrs., BMI 24.0 ± 2.6 kg ∙ m− 2; 15 men) were randomized to both a ≈ 2.5 h normoxic (FiO2 20.0%) and hypoxic (FiO2 12.5%) condition on two separate days. After 1.25 h, participants underwent 10 min of exercise-alone (cycling at 55% HRmax) and 15 min of exercise + cognitive testing. Prefrontal cortex (PFC) tissue oxygenation and middle cerebral artery (MCA) mean blood velocity (MnV) were measured using near-infrared spectroscopy and transcranial Doppler respectively at rest, during exercise-alone, and during exercise + cognitive testing. Salivary levels of dehydroepiandosterone [DHEA], DHEA-sulfate [DHEAS]) and neuron specific enolase (NSE) were measured pre and post exercise. Cognition was assessed using standard metrics of accuracy and reaction time (RT), and advanced metrics from drift-diffusion modeling across memory recognition, N-Back and Flanker tasks. MCA MnV increased from rest to exercise (p < 0.01) and was unchanged with addition of cognitive testing during exercise in both normoxia and hypoxia. PFC oxygenation increased during exercise (p < 0.05) and was further increased with addition of cognitive challenge in normoxia but decreased during exercise in hypoxia (p < 0.05) with further reductions occurring with addition of cognitive tasks (p < 0.05). DHEA and NSE increased and decreased post-exercise, respectively, in both normoxia and hypoxia (p < 0.01). Accuracy on cognitive tasks was similar in normoxia compared to hypoxia, while RT was slower in hypoxia vs normoxia across memory recognition (p < 0.01) and Flanker tasks (p = 0.04). Drift-diffusion modeling suggested changes in memory RT were due to increases in caution (p < 0.01). Overall cognitive performance is maintained during exercise in hypoxia concomitant with slower RT in select cognitive tasks and reduced oxygenation in the PFC. These changes were accompanied by slight increases in neuro-steroidal modulation but appear independent of changes in NSE, a biomarker of BBB integrity. Maintained accuracy and select increases in RT during hypoxic exercise may be related behavioral changes in caution.