Although men and women are suggested to vary in resistance to fatigue, possible sex difference in its central component have rarely been investigated via electroencephalography (EEG). Therefore, we examined differences in cortical activity between male and female cyclists (n = 26) during cycling exercise. Participants performed an incremental test to derive the anaerobic threshold from the lactate power curve. In addition, cyclists’ cortical activity was recorded with EEG before and during cycling exercise. Whereas women showed higher frontal alpha and beta activity at rest, no sex-specific differences of relative EEG spectral power occurred during cycling at higher intensity. Women and men’s brains respond similarly during submaximal cycling, as both sexes show an inverted U-shaped curve of alpha power. Therefore, sex differences observable at rest vanish after the onset of exercise.