Lack of sleep causes central fatigue in the body, which in turn affects brain function, and similarly, intense exercise causes both central and peripheral fatigue. This study aims to characterize the brain state, and in particular the functional changes in the relevant brain regions, after intense exercise in sleep-deprived conditions by detecting EEG signals. Thirty healthy adolescents were screened to participate in the trial, a sleep-deprivation model was developed, and a running exercise was performed the following morning. Meanwhile, pre-exercise and post-exercise Electroencephalogram (EEG) data were collected from the subjects using a 32-conductor electroencephalogram acquisition system (Neuroscan), and the data were analyzed using MATLAB (2013b) to process the data and analyzed Phase Lag Index (PLI) and graph theory metrics for different brain connections. Compared with the control group, the pre-exercise sleep-deprivation group showed significantly lower functional brain connectivity in the central and right temporal lobes in the Delta band (p < 0.05), significantly lower functional brain connectivity in the parietal and occipital regions in the Theta band (p < 0.05), and significantly higher functional brain connectivity in the left temporal and right parietal regions in the Beta2 band (p < 0.05). In the post-exercise sleep-deprivation group, functional brain connectivity was significantly lower in the central to right occipital and central regions in the Delta band (p < 0.05), significantly higher in the whole brain regions in the Theta, Alpha2, and Beta1 bands (p < 0.05 and 0.001), significantly higher in the right central, right parietal, and right temporal regions in the Alpha1 band (p < 0.05), and in the Beta2 band, the functional brain connections from the left frontal region to the right parietal region were significantly lower (p < 0.05). The results of the brain functional network properties showed that the clustering coefficients in the Delta band were significantly lower in the pre-exercise sleep-deprivation group compared to the control group (p < 0.05); the characteristic path length and global efficiency in the Theta band were significantly lower (p < 0.05 and 0.001). The post-exercise sleep-deprivation group showed significantly higher clustering coefficients, input lengths, and local efficiencies (p < 0.001), and significantly lower global efficiencies in the Delta and Theta bands (p < 0.001), and significantly higher clustering coefficients and local efficiencies (p < 0.001) and significantly lower input lengths and global efficiencies in the Alpha1 band compared with the control group (p < 0.001). After sleep deprivation, the pre-exercise resting state reduces the rate of information transfer in the functional networks of the adolescent brain, slowing the transfer of information between brain regions. After performing strenuous exercise, sleep deprivation leads to decreased athletic performance in adolescents. After a prolonged period of intense exercise, brain activity is gradually suppressed, resulting in even slower work efficiency and, eventually, increased information transfer in adolescents.