Imagery, as a cognitive strategy, can improve affective responses during moderate-intensity exercise. The effects of imagery at higher intensities of exercise have not been examined. Further, the effect of imagery use and activity in the frontal cortex during exercise is unknown. Using a crossover design (imagery and control), activity of the frontal cortex (reflected by changes in cerebral hemodynamics using near-infrared spectroscopy) and affective responses were measured during exercise at intensities 5% above the ventilatory threshold (VT) and the respiratory compensation point (RCP). Results indicated that imagery use influenced activity of the frontal cortex and was associated with a more positive affective response at intensities above VT, but not RCP to exhaustion (p < .05). These findings provide direct neurophysiological evidence of imagery use and activity in the frontal cortex during exercise at intensities above VT that positively impact affective responses.