Appropriate training burden monitoring is still a challenge for the support staff, athletes, and coaches. Extensive research has been done in recent years that proposes several external and internal indicators. Among all measurements, the importance of cognitive factors has been indicated but has never been really considered in the training monitoring process. While there is strong evidence supporting the use of cognitive demand indicators in cognitive neuroscience, their importance in training monitoring for multiple sports settings must be better emphasized. The aims of this scoping review are to (1) provide an overview of the cognitive demand concept beside the physical demand in training; (2) highlight the current methods for assessing cognitive demand in an applied setting to sports in part through a neuroergonomics approach; (3) show how cognitive demand metrics can be exploited and applied to our better understanding of fatigue, sport injury, overtraining and individual performance capabilities. This review highlights also the potential new ways of brain imaging approaches for monitoring in situ. While assessment of cognitive demand is still in its infancy in sport, it may represent a very fruitful approach if applied with rigorous protocols and deep knowledge of both the neurobehavioral and cognitive aspects. It is time now to consider the cognitive demand to avoid underestimating the total training burden and its management.