The inverse relationship between exercise intensity and affective valence is well established for continuous exercise but not for high-intensity interval exercise (HIIE). The objective was to verify the dose–response relationship between exercise intensity and affective valence in HIIE sessions. Eleven young men underwent a vigorous-intensity continuous exercise (VICE) and three HIIE sessions at the same average intensity (70% of peak power—WPeak) and duration (20 min) but with different amplitudes: 10 × [1 min at 90% WPeak/1 min at 50% WPeak]—HIIE-90/50; 10 × [1 min at 100% WPeak/1 min at 40% WPeak]—HIIE-100/40; 10 × [1 min at 110% WPeak/1 min at 30% WPeak]—HIIE-110/30. During the exercise sessions, psychophysiological variables were recorded (VO2, VCO2, heart rate, perceived exertion CR10, and Feeling Scale (FS)). Higher correlations were found between CR10 and FS for all conditions (VICE = −0.987; HIIE-90/50 = −0.873; HIIE-100/40 = −0.908; HIIE-110/30 = −0.948). Regarding the physiological variables, the %HRMax presented moderate inverse correlations with FS for all exercise conditions (VICE = −0.867; HIIE-90/50 = −0.818; HIIE-100/40 = −0.837; HIIE-110/30 = −0.828) while the respiratory variables (%VO2Peak and %VCO2Peak) presented low-to-moderate correlations only for VICE, HIIE-90/50, and HIIE-100/40 (ranging from −0.523 to −0.805). Poor correlations were observed between the %VO2Peak (r = −0.293) and %VCO2Peak (r = −0.020) with FS. The results indicated that perceived exertion is more sensible than physiological variables to explain the intensity–affective valence relationship in HIIE sessions. RPE should be used for HIIE prescription with a focus on affect.