The importance of physical activity has been widely demonstrated both in clinics and in sports. One of the new frontier training programs is high-intensity functional training (HIFT). The immediate effects of HIFT on the psychomotor and cognitive performance of well-trained people are still not clear. This paper aims to evaluate the immediate effects induced by HIFT on blood lactate levels, physical performance in terms of body stability and jump ability, and cognitive performance in terms of reaction time. Nineteen well-trained participants were enrolled in the experimental studies and asked to execute six repetitions of a circuit training. Data were gathered both in a pre-training session and after each one of the circuit repetitions. An immediate significant increase with respect to the baseline was observed during the first repetition, with a further increase after the third one. No effects on jump ability were found, whereas a deterioration in body stability was found. Positive immediate effects on cognitive performance in terms of accuracy and speed in task execution were assessed. The findings can be exploited by trainers during coaching to optimize the design of training programs.