Both mood and cognitive function are altered in cold environments. Body warming through exercise may improve Stroop interference score and lessen total negative mood. The purpose of this study was to determine the effect of equal caloric bouts of interval (INT) and continuous (CONT) exercise on mood and selective attention in the cold. Eleven young men underwent two experimental trials in 5°C air. Both trials consisted of 90 min acute cold exposure (ACE), 30 min exercise (INT vs. CONT), and 60 min recovery (REC). The Profile of Mood States (POMS) and Stroop Color Word Test (SCWT) were administered at four time points. Mean body temperature decreased during ACE, increased during exercise, and decreased during REC. Repeated measures analysis of variance revealed a main effect for time for several of the POMS sub scores. In particular, negative mood was significantly decreased after exercise relative to ACE and then significantly increased during REC. Further, CONT appears to be more effective than INT at decreasing negative mood. Components of the SCWT supported both the arousal and distraction theories for simple perception, but no significant effects were shown for the interference score. In the cold, exercise decreases negative mood but does not appear to affect selective attention. Further mechanistic studies could determine the best mode and intensity of exercise for improving cognitive function in the cold.