The difference between Apolipoprotein E ε4 carriers and non-carriers in response to single exercise sessions was tested. Stroop and Posner tasks were administered to young untrained women immediately after walking sessions or moderately heavy exercise. Exercise had a significantly more profound impact on the Stroop effect than on the Posner effect, suggesting selective involvement of prefrontal function. A significant genotype-by-exercise interaction indicated differences in response to exercise between ε4 carriers and non-carriers. Carriers showed facilitation triggered by exercise. The transient executive down-regulation was construed as due to exercise-dependent hypofrontality. The facilitation observed in carriers was interpreted as better management of prefrontal metabolic resources, and explained within the antagonistic pleiotropy hypothesis framework. The findings have implications for the interpretation of differences between ε4 carriers and non-carriers in the benefits triggered by long-term exercise that might depend, at least partially, on mechanisms of metabolic response to physical activity.