Acute bouts of aerobic exercise have been consistently associated with significant reductions in anxiety, but explanations for this effect remain elusive. The cerebral lateralization hypothesis predicts that anxiety reductions would be caused by a postexercise decrease in anterior right, relative to left, hemisphere activation. A sample of 19 right-handed males ran at 75% of their VO2max for 30 min on a treadmill. Electroencephalogram (EEG; F3, F4, T3, T4) and state anxiety were collected before and following exercise. Compared with preexercise, anxiety was significantly (P < 0.05) reduced at 10, 20, and 30 min postexercise. Preexercise EEG alpha asymmetry was significantly related to trait anxiety and also predicted a significant amount of variance (30%; P = 0.008) in postexercise anxiety reduction. From pre- to postexercise, the relative activation of the left frontal area increased with respect to the homologous right frontal site. Within-subject correlations for the change in anxiety with corresponding EEG changes were small but in line with theoretical predictions. It is concluded that the cerebral lateralization hypothesis remains tenable for explaining anxiety reductions associated with exercise.