Previous research suggests that physical exercise may have beneficial effects on cognitive performance in children and the elderly, but little research has yet examined these associations in healthy adults. It was hypothesized that self-reported frequency and duration of physical exercise would correlate positively with measured intelligence on the Wechsler Abbreviated Scale of Intelligence in healthy young to middle aged adults (25 men, 28 women). Although there was a modest positive association between physical exercise and intelligence (IQ) for the group as a whole, when examined separately by sex, greater physical activity was associated with higher intelligence scores for women, whereas exercise level was essentially unrelated to intelligence among men. These associations remained consistent even after controlling for demographic and socioeconomic factors. The association between exercise and IQ appears to be moderated by sex in healthy adults, possibly through its effects on glucoregulation, insulin sensitivity, or other factors that differ between men and women.