Individual executive function improvement through physical and cognitive training is a research hotspot in physical education and cognitive science. However, few studies have evaluated whether combined physical and cognitive training (CPCT) has greater benefits for executive function performance and cerebral oxygenation in adolescent athletes than cognitive training alone. This study randomly assigned 33 adolescent shooting athletes to a CPCT (n = 17) or computerized cognitive training (CCT, n = 16) group and compared their executive function after six weeks of training. All subjects were assessed using the 2-back, task-switching, and Stroop tests before and after training. The prefrontal cortex oxygenated hemoglobin (Oxy-Hb) activation level was monitored while executing the three tasks using functional near-infrared spectroscopy. Our results showed that the CPCT and CCT groups similarly improved their updating function as indicated by the 2-back task accuracy. The CPCT group significantly improved the switching function in the task-switching test accuracy, while the CCT group did not. However, both groups did not improve in behavioral performance as indicated by the inhibition function in the Stroop task. Cerebral oxygenation, indicated by the oxy-Hb activation level in the frontal pole area of the prefrontal lobe, significantly improved in the CPCT group during the three cognitive tasks, whereas the CCT group showed no change. These findings indicated that CPCT endowed greater advantages in task-switching in the behavioral performance of the executive function than CCT. Moreover, CPCT was superior to CCT in increasing task-efficient cerebral oxygenation during the activation of the prefrontal cortex in adolescent shooting athletes.