While the effects of acute exercise on mood and cognitive functions have been separately documented over the last decade, recent findings have pointed to a possible connection between affective responses to exercise and cognitive performance. The main objective of this study was to test whether the effects of acute exercise on cognition were mediated by changes in feelings of energy. One-hundred-and-one undergraduate students were randomized into one of two experimental conditions: 15 min of jogging at “moderate” intensity, or 15 min of relaxation/concentration (control condition). Perceptual speed, visual attentional control, working memory, and cognitive flexibility were assessed pre- and post-intervention in both groups via the Trail Making Test. Self-rated feelings of energy were also recorded pre- and post-intervention. Only completion time for the TMT-A significantly improved from pre- to post-intervention in participants who exercised compared with participants who practiced relaxation/concentration. No Group × Time interaction was found with regard to the other TMT variables. Finally, changes in feelings of energy were found to fully mediate the relationship between exercise and perceptual speed/visual attentional control. Taken together, our data suggest that a brief bout of moderate intensity exercise can improve the efficiency of certain cognitive processes through increases in feelings of energy, but further research is required to evaluate the duration of benefits and to determine whether these apply to other populations.