As is well known, cognitive performances are highly influenced by cognitive load, so it is meaningful to find some ways to effectively reduce the cognitive load. In particular, aerobic exercise is a promising way. However, the neural evidence is still lacking in understanding how aerobic exercise minimizes cognitive load. To solve the problem, this study adopted the N-back task in both the before (BE) and after (AE) aerobic exercise periods, behavioral and EEG data were recorded from 21 participants. Functional connectivity was constructed by the weighted phase lag index (WPLI), and effective connectivity was constructed by the partially directed coherent (PDC). Consequently, by comparing the connection strength and pattern of BE and AE, it is found that in low-frequency (0~8 Hz), aerobic exercise could enhance the connection strength of WPLI networks under high cognitive load, and increase the importance of the forehead region in the communication of PDC networks under low cognitive load. These results could advance our understanding of the underlying mechanisms of how aerobic exercise modulates cognitive load.