In daily life, humans must switch between various cognitive tasks by using their executive control function. The process of a task switch demands a cost in utilizing additional cognitive resources. The aim of this paper is to review the current knowledge on exercise training or increased physical activity and its relation to switch cost. Psychological processes of task switch and the effect of exercise training or increased physical activity on efficiency of task switch are described in this review. Majority of studies report that people engaging with exercise training or physical activity significantly lowers the switch costs. The proposed facilitating mechanisms includes an accelerated evaluation rate to rule, or an enhancement of attention resources while reconfiguring response rules, consequently hastening stimulus-response processes. However, more evidence is required to consolidate above hypothetical concepts.