Physical activity promotes mental health. A key factor is self-regulation. In the field of sports, self-regulation is related to the psychophysiological competence of rating of perceived effort (RPE). It was reported that adolescents have lower RPE competencies than adults, and it was hypothesized that this effect depends on physiological and cognitive development. The present study investigated in a sample of adolescents whether the RPE is related to basic cognitive competencies. Twelve rowers performed cognitive tests and a graded exercise test on a rowing ergometer, in which they continuously rated their perceived effort. Objective load measures and subjective perceptions were highly correlated (rho = 0.95–0.99). Furthermore, these correlations were inter-individually moderated by measures of mental speed and spontaneous flexibility. The results confirm the significance of basal cognitive competencies for conscious load perception. It is discussed whether regular sport has beneficial effects on the development of RPE competencies by enhancing cognitive regulation.