The present study sought to further understanding of the brain mechanisms that underlie the effects of music on perceptual, affective, and visceral responses during whole-body modes of exercise. Eighteen participants were administered light-to-moderate intensity bouts of cycle ergometer exercise. Each exercise bout was of 12-min duration (warm-up [3 min], exercise [6 min], and warm-down [3 min]). Portable techniques were used to monitor the electrical activity in the brain, heart, and muscle during the administration of three conditions: music, audiobook, and control. Conditions were randomized and counterbalanced to prevent any influence of systematic order on the dependent variables. Oscillatory potentials at the Cz electrode site were used to further understanding of time–frequency changes influenced by voluntary control of movements. Spectral coherence analysis between Cz and frontal, frontal-central, central, central-parietal, and parietal electrode sites was also calculated. Perceptual and affective measures were taken at five timepoints during the exercise bout. Results indicated that music reallocated participants' attentional focus toward auditory pathways and reduced perceived exertion. The music also inhibited alpha resynchronization at the Cz electrode site and reduced the spectral coherence values at Cz–C4 and Cz–Fz. The reduced focal awareness induced by music led to a more autonomous control of cycle movements performed at light-to-moderate-intensities. Processing of interoceptive sensory cues appears to upmodulate fatigue-related sensations, increase the connectivity in the frontal and central regions of the brain, and is associated with neural resynchronization to sustain the imposed exercise intensity.