Choice reaction time (RT) is shorter when participants perform a choice task at the same time as a sub-maximal exercise than when they are at rest. The purpose of the present study was to determine whether such an exercise affects response execution or whether it alters processes located upstream from the neuro-muscular level. To this end, the electromyographic (EMG) activity of the response agonists was analysed in a between hand choice RT task performed either concurrently with a pedalling task or at rest. Visual stimulus intensity was also manipulated so as to determine whether exercise further affects early sensory processes. Results shows that exercise affected the time interval elapsing from the onset of the contraction of the response agonists to the mechanical response, thereby indicating that this variable modifies the peripheral motor processes involved in response execution. EMG signal analyses further revealed that the cortico-spinal command is more efficient during exercise than at rest. In addition, exercise was shown to interact with visual stimulus intensity on the time between stimulus and voluntary EMG onset and to increase the critical flicker fusion frequency threshold, thereby indicating that exercise modifies the peripheral sensory processes involved in early sensory operations. The decomposition of RT, with respect to the EMG activity of response agonists, sheds light on the processes affected by exercise and suggests that exercise affects both sensory processes and late motor processes.