Aging is characterized by cognitive decline affecting daily functioning. To manage this socio-economic challenge, several non-pharmacological methods such as physical, cognitive, and combined training are proposed. Although there is an important interest in this subject, the literature is still heterogeneous. The superiority of simultaneous training compared to passive control and physical training alone seems clear but very few studies compared simultaneous training to cognitive training alone. The aim of this pilot study was to investigate the effect of simultaneous exercise and cognitive training on several cognitive domains in healthy older adults, in comparison with either training alone. Thirty-five healthy older adults were randomized into one of three experimental groups: exercise training, cognitive training, and simultaneous exercise and cognitive training. The protocol involved two 30-min sessions per week for 24 weeks. Cognitive performance in several domains, pre-frontal cortex oxygenation, and baroreflex sensitivity were assessed before and after the intervention. All groups improved executive performance, including flexibility or working memory. We found a group by time interaction for inhibition cost (F(2,28) = 6.44; p textless 0.01) and baroreflex sensitivity during controlled breathing (F(2,25) = 4.22; p = 0.01), the magnitude of improvement of each variable being associated (r = -0.39; p = 0.03). We also found a decrease in left and right pre-frontal cortex oxygenation in all groups during the trail making test B. A simultaneous exercise and cognitive training are more efficient than either training alone to improve executive function and baroreflex sensitivity. The results of this study may have important clinical repercussions by allowing to optimize the interventions designed to maintain the physical and cognitive health of older adults.