Purpose: To examine the effect of acute moderate-intensity continuous exercise performed under normobaric severe hypoxia on cognition, compared to sea-level normoxia. Methods: Thirty healthy inactive women randomly performed two experimental trials separated by at least three days but at approximately the same time of day. Executive functions were measured during the follicular stage via an interference control task before (rest) and during exercise with 45% peak power output under normobaric normoxia (PIO = 150 mmHg, FIO = 0.21), and (2) hypoxia (PIO = 87 mmHg, FIO = 0.12, simulated at an altitude of 4000 m). Reaction time (RT), accuracy rate (AC), heart rate, ratings of perceived exertion, and peripheral oxygen saturation (SpO ) were collected before and during exercise. Results: RT (p < 0.05, η = 0.203) decreased during moderate exercise when compared at rest, while a short bout of severe hypoxia improved RT (p < 0.05, η = 0.134). Exercise and hypoxia had no effects on AC (p > 0.05). No significant associations were found between the changes of RT and SpO under the conditions of normoxia and hypoxia (p > 0.05). Conclusions: At the same phase of the menstrual cycle, a short bout of severe hypoxia simulated at 4000 m altitude caused no impairment at rest. RT during moderate exercise ameliorated in normoxia and severe hypoxia, suggesting that both exercise and short-term severe hypoxia have benefits on cognitive function in sedentary young women.