UPDATE: See this new post
It looks like XNA does not distribute processing across the multiple cores of the 360:
This is identical code (a Mandelbrot calculation of a fixed size) running with multiple threads. While my desktop machine speeds up with more threads (peaking at 3), the XBox 360 running XNA runs at almost exactly the same speed.
Incidentally, the graphic shows normalized speeds. The actual performance of the XBox 360 is 1/5 – 1/9 that of my desktop (4.43 seconds as opposed to ~.8 seconds single-threaded or ~.47 with 3 threads).