Neuroimaging techniques are now widely used to study human cognition. The functional associations between brain areas have become a standard proxy to describe how cognitive processes are distributed across the brain network. Among the many analysis tools available, dynamic models of brain activity have been developed to overcome the limitations of original connectivity measures such as functional connectivity. This goes in line with the many efforts devoted to the assessment of directional interactions between brain areas from the observed neuroimaging activity. This opinion article provides an overview of our model-based whole-brain effective connectivity to analyze fMRI data, while discussing the pros and cons of our approach with respect to other established approaches. Our framework relies on the multivariate Ornstein-Uhlenbeck (MOU) process and is thus referred to as MOU-EC. Once tuned, the model provides a directed connectivity estimate that reflects the dynamical state of BOLD activity, which can be used to explore cognition. We illustrate this approach using two applications on task-evoked fMRI data. First, as a connectivity measure, MOU-EC can be used to extract biomarkers for task-specific brain coordination, understood as the patterns of areas exchanging information. The multivariate nature of connectivity measures raises several challenges for whole-brain analysis, for which machine-learning tools present some advantages over statistical testing. Second, we show how to interpret changes in MOU-EC connections in a collective and model-based manner, bridging with network analysis. Our framework provides a comprehensive set of tools that open exciting perspectives to study distributed cognition, as well as neuropathologies.