Increasing evidence suggests that cognitive function improves during a single bout of moderate exercise. In contrast, exercise under hypoxia may compromise the availability of oxygen. Given that brain function and tissue integrity are dependent on a continuous and sufficient oxygen supply, exercise under hypoxia may impair cognitive function. However, it remains unclear how exercise under hypoxia affects cognitive function. The purpose of this study was to examine the effects of exercise under different levels of hypoxia on cognitive function. Twelve participants performed a cognitive task at rest and during exercise at various fractions of inspired oxygen (FIO2: 0.209, 0.18, and 0.15). Exercise intensity corresponded to 60% of peak oxygen uptake under normoxia. The participants performed a Go/No-Go task requiring executive control. Cognitive function was evaluated using the speed of response (reaction time) and response accuracy. We monitored pulse oximetric saturation (SpO2) and cerebral oxygenation to assess oxygen availability. SpO2 and cerebral oxygenation progressively decreased during exercise as the FIO2 level decreased. Nevertheless, the reaction time in the Go-trial significantly decreased during moderate exercise. Hypoxia did not affect reaction time. Neither exercise nor difference in FIO2 level affected response accuracy. An additional experiment indicated that cognitive function was not altered without exercise. These results suggest that the improvement in cognitive function is attributable to exercise, and that hypoxia has no effects on cognitive function at least under the present experimental condition. Exercise-cognition interaction should be further investigated under various environmental and exercise conditions.