This study aimed to comprehensively investigate the thermal comfort and physiological and psychological effects according to tree density in forest environments during rest and during and after physical activities in the summer. Participants consisted of 18 male university students (average age: 24.0 ± 1.6 years old), and a within-subjects experimental design was used. Participants sat on a chair for 5 min to rest, performed a step-box exercise for 8 min, and then sat on the chair again, and rested for 10 min in a forest with high tree density (85.6%) and one with low tree density (12.2% as a control). Thermal comfort (predicted mean vote; PMV and percentage of dissatisfied; PPD) and physiological and psychological responses were measured. We investigated and analyzed the changes in “rest”, “during exercise”, and “after exercise”. As a result, a forest with high tree density showed a statistically significant decrease in PMV and PPD values; an increase in parasympathetic nervous activity; a decrease in respiratory rate, systolic blood pressure, and pulse rate; an improvement in mood state; an increase in comfortable, relaxed, and natural feelings; and more of an increase in personal thermal sensation during the recovery period after physical activities than in a forest with low tree density. In conclusion, a forest with high tree density during recovery after physical activities in the summer has higher thermal comfort and physiological and psychological relaxation effects on humans, as compared to one with low tree density.