This chapter presents a comprehensive protocol for designing experiments aimed at collecting high-fidelity biological signals during movement-based activities such as walking, cycling, and running. It serves as a critical guide for researchers and students, emphasizing the importance of methodological rigor in preserving the integrity of psychophysiological data. Detailed steps are provided for adjusting experimental protocols to minimize the effects of physiological, mechanical, and environmental artifacts that can distort biological signals. The chapter also offers an in-depth look at preprocessing techniques for artifact removal, crucial for preparing electroencephalography (EEG) and heart rate variability (HRV) data for analysis. Readers are guided through a series of preprocessing approaches, including frequency decomposition and connectivity analysis, to ensure that extracted variables remain relevant and reliable. This practical framework equips readers with the knowledge to implement robust protocols and process psychophysiological data with accuracy, paving the way for reproducible and insightful research outcomes in exercise science.