Scientists found that aerobically fit nine and 10-year-olds had denser regions of "white matter" in their brains. White matter consists of bundles of nerve fibres, or axons, that connect different brain regions.
Previous research has linked physical fitness in children to larger brain volumes of "grey matter" - the cell bodies of neurons.
US lead researcher Dr Laura Chaddock-Heyman, from the University of Illinois, said: "This study extends our previous work and suggests that white-matter structure may be one additional mechanism by which higher-fit children outperform their lower-fit peers on cognitive tasks and in the classroom."
The team used a brain scanning technique called diffusion tensor imaging (DTI) to examine five white-matter tracts in the brains of 24 volunteer children.
The system works by analysing water diffusion into tissues. For white matter, less water diffusion means the tissue is more fibrous and compact - desirable traits.
"All of these tracts have been found to play a role in attention and memory," said Dr Chaddock-Heyman.
The research is reported in the journal Frontiers in Human Neuroscience.