Preliminary evidence suggests that children may report decreasing pleasure throughout incremental exercise tests. This pattern of affective responses might be related to the deviation of incremental and prolonged patterns of exercise from the innate propensity of children for intermittent movement. Furthermore, the self-regulation of affective responses during exercise may require cognitive strategies underpinned by cortical networks still under development during childhood. Consequently, the purpose of this study was to examine (1) whether dorsolateral prefrontal cortical (dlPFC) activity is associated with affective responses during an incremental cycling exercise test, and (2) whether theoretically relevant covariates moderate affective responses and dlPFC activation during exercise. Secondary outcomes of interest included (3) whether affective responses, dlPFC activation, and time spent exercising at intensities above ventilatory threshold (VT) are associated with lower postexercise scores on the inhibition component of executive function as assessed by a pediatric adaptation of the Eriksen Flanker Task. Fifty-six healthy girls (n = 27) and boys (n = 29) aged 7-9 years participated in the study. There was a positive association between left dlPFC activity and affective responses above VT to the end of exercise, whereby dlPFC activity declined concurrently with affective responses. Age and body mass index (BMI) moderated the slopes of change in right dlPFC activity below VT, while age moderated the slope of affective responses and BMI moderated the slope of left dlPFC activity below VT. There were no moderators of affective responses or dlPFC activity from VT to the end of exercise. These results suggest that children experience declines in pleasure that accelerate during incremental exercise and that these declines may reflect unsuccessful prefrontally mediated efforts to self-regulate affect. Children may not yet be able to effectively self-regulate affective responses during exercise without additional biological maturation and/or deliberate practice.