Pleasure is a key factor for physical activity behavior in sedentary individuals. Inhibitory cognitive control may play an important role in pleasure perception while exercising, especially at high intensities. In addition, separate work suggests that autonomic regulation and cerebral hemodynamics influence the affective and cognitive responses during exercise. We investigated the effects of exercise intensity on affect, inhibitory control, cardiac autonomic function, and prefrontal cortex (PFC) oxygenation. Thirty-seven sedentary young adults performed two experimental conditions (exercise and control) in separate sessions in a repeated-measures design. In the exercise condition, participants performed a maximum graded exercise test on a cycle ergometer as we continuously measured oxygen consumption, heart rate variability (HRV), and PFC oxygenation. At each of 8 intensity levels we also measured inhibitory control (Stroop test), associative and dissociative thoughts (ADT), and affective/pleasure ratings. In the control condition, participants sat motionless on a cycle ergometer without active pedaling, and we collected the same measures at the same points in time as the exercise condition. We evaluated the main effects and interactions of exercise condition and intensity level for each measure using two-way repeated measures ANOVAs. Additionally, we evaluated the relationship between affect and inhibitory control, ADT, HRV, and PFC oxygenation using Pearson's correlation coefficients. For exercise intensities below and at the ventilatory threshold (VT), participants reported feeling neutral, with preservation of inhibitory control, while intensities above the VT were associated with displeasure (p<0.001), decreased inhibitory control and HRV (p<0.001), and increased PFC oxygenation (p<0.001). At the highest exercise intensity, pleasure was correlated with the low-frequency index of HRV (r = -0.34; p<0.05) and the low-frequency/high-frequency HRV ratio (r = -0.33; p<0.05). PFC deoxyhemoglobin was correlated with pleasure two stages above the VT (r = -0.37; p<0.05). Our results support the notion that exercise at high intensities influences inhibitory control and one's perception of pleasure, which are linked to changes in cardiac autonomic control and cerebral hemodynamics. These findings strengthen the existence of an integrated brain-heart-body system and highlight the importance of exercise intensity in exercise-related behavior in sedentary individuals.