The beneficial effect of physical activity (PA) on the brain has been well established. Both acute and regular PA can boost a range of cognitive functions and enhance mood and mental health. Notably, the effect of acute PA on the brain and cognitive functions is generally found to be dose-dependent, in terms of both the amount and intensity of the exercise episode. In contrast, in the case of regular PA, the literature has primarily focused on the amount of exercise, and limited studies have assessed the influence of the exercise intensity. Since PA in higher intensity causes more extensive, more powerful, and longer-lasting neurobiological changes, it may prove more beneficial to cognitive functions and mental health. In the present study, we set out to test this hypothesis by employing a battery of questionnaires and laboratory tests with a sample of young adults. We found that more frequent vigorous- and moderate-intensity PA rather than walking (considered low to moderate intensity) was associated with better cognitive and mental health measures. Meanwhile, compared with no moderate- to vigorous-intensity physical activity (MVPA) at all, as few as 1~2 days per week (lasting at least 10 min each time) of MVPA was associated with a variety of benefits, particularly related to coping with challenging situations. In light of the neurobiological literature, the present study speaks to the value of moderate- to vigorous- rather than low-intensity PA in enhancing cognitive functions and mental health.