To improve cognitive function, moving the body is strongly recommended; however, evidence regarding the proper training modality is still lacking. The purpose of this study was therefore to assess the effects of high intensity interval training (HIIT) compared to moderate intensity continuous exercise (MICE), representing the same total training load, on improving cognitive function in healthy adults. It was hypothesized that after 6 weeks (3 days/week) of stationary bike training, HIIT would improve executive functions more than MICE. Twenty-five participants exercised three times a week for 6 weeks after randomization to the HIIT or MICE training groups. Target intensity was 60% of peak power output (PPO) in the MICE group and 100% PPO in the HIIT group. After training, PPO significantly increased in both the HIIT and MICE groups (9% and 15%, p < 0.01). HIIT was mainly associated with a greater improvement in overall reaction time in the executive components of the computerized Stroop task (980.43 ± 135.27 ms vs. 860.04 ± 75.63 ms, p < 0.01) and the trail making test (42.35 ± 14.86 s vs. 30.35 ± 4.13 s, p < 0.01). T exercise protocol was clearly an important factor in improving executive functions in young adults.