Attention Deficit Hyperactivity Disorder (ADHD) is a neurodevelopmental disorder with a complex symptomatology, and core symptoms as well as functional impairment often persist into adulthood. Recent investigations estimate the worldwide prevalence of ADHD in children and adolescents to be ~7%, which is a substantial increase compared to a decade ago. Conventional treatment most often includes pharmacotherapy with central nervous stimulants, but the number of non-responders and adverse effects call for treatment alternatives. Exercise has been suggested as a safe and low-cost adjunctive therapy for ADHD and is reported to be accompanied by positive effects on several aspects of cognitive functions in the general child population. Here we review existing evidence that exercise affects cognitive functions in children with and without ADHD and present likely neurophysiological mechanisms of action. We find well-described associations between physical activity and ADHD, as well as causal evidence in the form of small to moderate beneficial effects following acute aerobic exercise on executive functions in children with ADHD. Despite large heterogeneity, meta-analyses find small positive effects of exercise in population-based control (PBC) children, and our extracted effect sizes from long-term interventions suggest consistent positive effects in children and adolescents with ADHD. Paucity of studies probing the effect of different exercise parameters impedes finite conclusions in this regard. Large-scale clinical trials with appropriately timed exercise are needed. In summary, the existing preliminary evidence suggests that exercise can improve cognitive performance intimately linked to ADHD presentations in children with and without an ADHD diagnosis. Based on the findings from both PBC and ADHD children, we cautiously provide recommendations for parameters of exercise.