Dry shampoo is technically not ‘cleaning’ your hair. It is basically using alcohol or corn starch to soak up extra oils in our hair to give it a temporarily ‘fresh’ look. This is the same concept behind using baby powder under the arms and under the breasts and between the legs to soak up extra moisture that builds up.
Dry shampoos can be used to soak up some sweat before you are active - in this case you would apply before you know you are going to sweat.
The other way to use these are to keep them with you- if you start sweating a lot you can spritz some on your hair to dry out some of the excess buildup of sweat.
I’ve recommended a few here:
if you are in a bind then any powder will help dry some sweat. Sweat hair bands that wick away moisture have become very popular. And keeping a fan close by to help evaporate the sweat faster if exercising indoors!