We carried out an exploratory study of the association between exposure to violence, intelligence, and executive functions in Brazilian preadolescents. The study included 56 participants (31 males) aged 8 to 14 years old (mean = 11.3, SD = 1.0). We administered neuropsychological tests to evaluate executive functions and the Juvenile Victimization Questionnaire (JVQ) to evaluate exposure to violence. We used the following neuropsychological instruments: Wechsler Abbreviated Scale of Intelligence (WASI), Stroop Color-Word Interference task, digits subtest of the Wechsler Intelligence Scale for Children, and an N-back task. We generated a composite score from neuropsychological test scores and investigated the association of that score, and individual test scores, with exposure to violence and socioeconomic status (SES). Results suggest, first, that exposure to violence is associated with a 0.5-point lower intelligence quotient score for every reported victimization event in the Juvenile Victimization Questionnaire. Results also show that the digits backward subtest scores showed a significant negative correlation with exposure to violence (JVQ; rho = -0.29, p < 0.05); both analyses were adjusted for the level of schooling of parents or guardians, which was also found to be significantly associated with lower intelligence quotient scores. We discuss results in the light of the existing literature on the effects of exposure to violence on adolescent development, and the amounting evidence that suggests an association of exposure to violence, and of victimization, with tests that evaluate constructs of executive functions. The study struggled with low compliance from participants, and we underscore the challenges of carrying out empirical studies aimed at better understanding the development of underrepresented youths, such as those from Central and Latin America.