Understanding how brain dynamics change with dual cognitive and motor tasks can improve our knowledge of human neurophysiology. The primary goals of this study were to: (1) assess the feasibility of extracting electrocortical signals from scalp EEG while performing sustained, physically demanding dual-task walking and (2) test hypotheses about how the P300 event-related potential is affected by walking physical exertion. Participants walked on a treadmill for an hour either carrying an empty rucksack or one filled with 40% of their body weight. During the walking conditions and during a seated control condition, subjects periodically performed a visual oddball task. We recorded scalp EEG and examined electrocortical dynamics time-locked to the target stimulus. Channel-level event-related potential analysis demonstrated that it is feasible to extract reliable signals during long duration loaded walking. P300 amplitude was reduced during loaded walking versus seated, but there was no effect of time on task. Source level activity and frequency analysis revealed that sensorimotor, parietal, and cingulate brain areas all contributed to the reduced P300 amplitude during dual-task walking. We interpret the results as supporting a prioritization of cortical resources for walking, leading to fewer resources being directed toward the oddball task during dual-task locomotion.