Many studies have verified that there is an interaction between physical activities and mental fatigue. However, few studies are focused on the effect of physical activities on mental fatigue. This study was to analyze the states of mental fatigue based on electroencephalography (EEG) and investigate how physical activities affect mental fatigue. Fourteen healthy participants participated in an experiment including a 2-back mental task (the control) and the same mental task with cycling simultaneously (physical-mental task). Each experiment consisted of three 20 min fatigue-inducing sessions repeatedly (mental fatigue for mental tasks or mental fatigue plus physical activities for physical-mental tasks). During the evaluation sessions (before and after the fatigue-inducing sessions), the states of the participants were assessed by EEG parameters. Wavelet Packet Energy (WPE), Spectral Coherence Value (SCV), and Lempel-Ziv Complexity (LZC) were used to indicate mental fatigue from the perspectives of activation, functional connectivity, and complexity of the brain. The indices are the beta band energy Eβ, the energy ratio Eα/β, inter-hemispheric SCV of beta band SCVβ and LZC. The statistical analysis shows that mental fatigue was detected by Eβ, Eα/β, SCVβ, and LZC in physical-mental task. The slopes of the linear fit on these indices verified that the mental fatigue increased more fast during physical-mental task. It is concluded form the result that physical activities can enhance the mental fatigue and speed up the fatigue process based on brain activation, functional connection, and complexity. This result differs from the traditional opinion that physical activities have no influence on mental fatigue, and finds that physical activities can increase mental fatigue. This finding helps fatigue management through exercise instruction.