Research on effects of acute physical exercise on performance in a concurrent cognitive task has generated equivocal evidence. Processing efficiency theory predicts that concurrent physical exercise can increase resource requirements for sustaining cognitive performance even when the level of performance is unaffected. This hypothesis was tested in a dual-task experiment. Sixty young adults worked on a primary auditory attention task and a secondary interval production task while cycling on a bicycle ergometer. Physical load (cycling) and cognitive load of the primary task were manipulated. Neither physical nor cognitive load affected primary task performance, but both factors interacted on secondary task performance. Sustaining primary task performance under increased physical and/or cognitive load increased resource consumption as indicated by decreased secondary task performance. Results demonstrated that physical exercise effects on cognition might be underestimated when only single task performance is the focus.