Exercise is associated with changes in food consumption and cognitive function. The aim of this study was to examine the immediate effects of acute exercise on appetite, food choices, and cognitive processes, and the mediating role of cognitive functioning, namely inhibitory control, working memory, cognitive flexibility and decision making. We compared the effects of high-intensity interval exercise (HIIE) to a resting condition on appetite and food choices, using visual analogue rating scales and a computerised portion selection task. Mediation analysis was performed with exercise/rest condition as a predictor variable and cognitive measures were entered as mediating variables and food choice measures as outcomes. Young women with low activity levels, aged between 18 and 35 years with a body mass index (BMI) between 18 and 25 kg/m², were recruited. Participants (n = 30) demonstrated improved performance on a Stroop task following HIIE compared to the rest session, indicating enhanced attentional inhibition. Accuracy on an N-back task was significantly higher after HIIE, indicating an improvement in working memory and response times on the N-back task were shorter after HIIE, suggesting increased processing speed. Delay discounting for food (but not money) was reduced after HIEE but there were no significant effects on go/no-go task performance. On the trail-making task (a measure of cognitive flexibility), the time difference between trail B and A was significantly lower after HIIE, compared to rest. HIIE reduced rated enjoyment and ideal portion size selection for high energy dense foods. The relationship between exercise and food choices was mediated by inhibition as assessed by the Stoop task. These results suggest that HIIE leads to cognitive benefits and a reduced preference for high-calorie foods and that an enhancement of attentional inhibition may underlie this relationship.