Physically active breaks (AB) are currently being proposed as an interesting tool to improve students’ attention. Reviews and meta-analyses confirm their effect on attention, but also warned about the sparse evidence based on vigilance and university students. Therefore, this pilot study aimed to (a) determine the effects of AB in comparison with passive breaks on university students’ vigilance and (b) to validate an analysis model based on machine learning algorithms in conjunction with a multiparametric model based on electroencephalography (EEG) signal features. Through a counterbalanced within-subject experimental study, six university students (two female; mean age = 25.67, STD = 3.61) had their vigilance performances (i.e., response time in Psycho-Motor Vigilance Task) and EEG measured, before and after a lecture with an AB and another lecture with a passive break. A multiparametric model based on the spectral power, signal entropy and response time has been developed. Furthermore, this model, together with different machine learning algorithms, shows that for the taken signals there are significant differences after the AB lesson, implying an improvement in attention. These differences are most noticeable with the SVM with RBF kernel and ANNs with F1-score of 85% and 88%, respectively. In conclusion, results showed that students performed better on vigilance after the lecture with AB. Although limited, the evidence found could help researchers to be more accurate in their EEG analyses and lecturers and teachers to improve their students’ attentions in a proper way.