Aging is generally associated with a decline in important cognitive functions that can be observed in EEG. Physical activity in older adults should be considered one of the main strategies to promote health and prevent disease in the elderly. The present study aimed to systematically review studies of EEG activity and cognitive function changes associated with physical activity in older adults. Records from PubMed, Scopus, and EBSCO databases were searched and, following the PRISMA guidelines, nine studies were included in the present systematic review. A risk of bias assessment was performed using the National Institute of Health Quality Assessment Tool for Case-control Studies instrument. The studies analyzed used two main strategies to determine the effects of physical activity on cognition and EEG: (1) multiscale entropy and power frequencies; and (2) event-related potentials. In terms of EEG activity, it can be concluded that exercise-induced neuroplasticity underlies improvements in cognitive function in healthy older adults.