Monitoring the oxygenation levels of the prefrontal cortex during exercise is crucial in assessing decision-making abilities and cognitive responsibilities. Near-infrared spectroscopy (NIRS) is a non-invasive optical technique that measures and monitors tissue oxygenation levels in real-time. This study aimed to investigate the feasibility of using NIRS to monitor and compare patterns of cerebral and muscle oxygenation during progressive exercise, both before and after the anaerobic threshold (AT) is reached. A cohort of healthy adults with moderate to high fitness levels participated in an incremental exercise protocol using an indoor exercise bike. Two wearable NIRS sensors were used to monitor tissue oxygenation from the forehead and the thigh vastus lateralis (VL) muscle during the exercise. To estimate the anaerobic threshold (AT) time point, we used the Respiratory Exchange Ratio (RER) value greater than 1.0 as measured by a metabolic cart. The concentration difference between oxygenated and deoxygenated hemoglobin (Hb-diff), which indicates the level of tissue oxygenation, exhibited a significant decrease (ptextless0.05) in the VL muscle of all participants after the AT was reached. Conversely, there was a significant increase in Hb-diff in the cerebral cortex after the AT (ptextless 0.05). The results of this study demonstrate the efficient hemodynamics autoregulation of the brain even when the body is affected by metabolic fatigue during high-intensity exercise. This study confirms the feasibility of NIRS to monitor prefrontal cortex and muscle oxygenation during exercise as a unique application in exercise science.