OBJECTIVE: A study was undertaken to determine whether better cognitive functioning at midlife among more physically fit individuals reflects neuroprotection, by which fitness protects against age-related cognitive decline, or neuroselection, by which children with higher cognitive functioning select more active lifestyles. METHODS: Children in the Dunedin Longitudinal Study (N = 1,037) completed the Wechsler Intelligence Scales and the Trail Making, Rey Delayed Recall, and Grooved Pegboard tasks as children and again at midlife (age = 38 years). Adult cardiorespiratory fitness was assessed using a submaximal exercise test to estimate maximum oxygen consumption adjusted for body weight in milliliters/minute/kilogram. We tested whether more fit individuals had better cognitive functioning than their less fit counterparts (which could be consistent with neuroprotection), and whether better childhood cognitive functioning predisposed to better adult cardiorespiratory fitness (neuroselection). Finally, we examined possible mechanisms of neuroselection. RESULTS: Participants with better cardiorespiratory fitness had higher cognitive test scores at midlife. However, fitness-associated advantages in cognitive functioning were already present in childhood. After accounting for childhood baseline performance on the same cognitive tests, there was no association between cardiorespiratory fitness and midlife cognitive functioning. Socioeconomic and health advantages in childhood and healthier lifestyles during young adulthood explained most of the association between childhood cognitive functioning and adult cardiorespiratory fitness. INTERPRETATION: We found no evidence for a neuroprotective effect of cardiorespiratory fitness as of midlife. Instead, children with better cognitive functioning are selecting healthier lives. Fitness interventions may enhance cognitive functioning. However, observational and experimental studies testing neuroprotective effects of physical fitness should consider confounding by neuroselection.