This study aimed to assess the effectiveness of an online high-intensity interval training (HIIT) intervention and health education on the behaviors, mental health, and cognitive function of sedentary young females. A single-blinded, six-week, randomized controlled pilot trial involving 70 sedentary young Chinese females, aged 18–30 years, was conducted. An intervention group (IG) (n = 33) underwent a HIIT intervention and health education, while a waitlist group (WG) (n = 37) only received health education. In pre-, mid-, and post-tests, both groups filled out questionnaires about physical activity, sedentary behavior, and mental health. Cognitive functions were assessed at the pre- and post-tests by computer-administered cognitive tests. A mixed-effect model with repeated measures was used to analyze outcomes of interest. The retention rate of the IG and WG was 100% and 78.38%, respectively. The IG were found to have significantly increased rates of moderate-to-vigorous physical activity (MVPA) (Mdiff = 940.61, p < 0.001, 95% confidence interval (95% CI): 576.67, 1304.55) from pre-test to post-test, while the WG demonstrated a more marked reduction in sedentary time (Mdiff = −73.02, p = 0.038, 95% CI: −141.90, −4.14) compared with the IG in the post-test. Moreover, anxiety and stress levels were shown to significantly reduce in the IG over the six-week period (Mdiff = −4.73, p = 0.002, 95% CI: −7.30, −2.15 and Mdiff = −5.09, p = 0.001, 95% CI: −8.29, −1.89, respectively). In addition, we observed a significant improvement in verbal ability (p = 0.008, ηp2 = 0.19) following the HIIT intervention and effects of the interaction with time on processing speed (p = 0.050, ηp2 = 0.10) and episodic memory (p = 0.048, ηp2 = 0.11). Moreover, the IG had better global cognitive performance than the WG in the post-test (Mdiff = 8.28, p = 0.003, 95% CI: 3.06, 13.50). In summary, both an online bodyweight HIIT intervention combined with health education, or health education alone, can effectively improve health-related behaviors, but the behavioral consequences may differ based on the emphasis of different intervention modalities. Furthermore, the “bodyweight HIIT plus health education” modality might be a more promising online intervention strategy to mitigate against negative emotions and improve cognitive function.