Interval exercise has been used as an alternative modality to continuous exercise in patients with various conditions. Although interval exercise can improve health status, it may also exert deleterious effects. Few data are available on differences in psychoneuroimmunological response to high-intensity interval exercise, and it is not known whether males and females differ in their responses to a similar physical stress task. The aim of this study was to evaluate the differences between the psychoneuroimmunological responses of healthy active males and females to a high-intensity interval exercise protocol. Fifty healthy active subjects (25 females) underwent 2 exercise protocol sessions at least 2 weeks apart and at the same time of the day. The first session familiarized participants with the protocol. In the second, after a baseline measurement, subjects performed an exercise protocol with a standardized warm-up followed by three 30-s Wingate tests and an active recovery period. Baseline and post-intervention data were gathered on the following: Holter electrocardiogram recordings (standard deviation of normal-to-normal interval [SDNN], square root of mean squared differences of successive NN intervals [RMSSD]); heart rate variability (HRV) index; salivary total protein and immunoglobulin A levels; pressure pain thresholds in masseter and upper trapezius muscles; and profile of mood states. After the exercise protocol, mood disturbance was significantly greater in the males than in the females, while the salivary immunoglobulin A level relative to total proteins was significantly lower in the males. These results suggest that high-intensity interval exercise induces a worse psychoneuroimmunological state in males than in females.