The study aimed to investigate the effect of high-intensity intermittent effort (HIIE) performed in luteal and follicular menstrual phases on BDNF, cognitive function, mood and exercise enjoyment. Fourteen healthy women completed four experimental sessions, randomly. For each menstrual phase one graded exercise test (GXT) and one HIIE session (10 × 1-min runs 90% peak GXT velocity [1-min recovery]) were performed. Blood samples were collected at rest and immediately after efforts, as well profile of mood states questionnaire (POMS) and Stroop-task application. During the HIIE, subjective scales were applied (feeling, felt arousal, rate of perceived exertion and physical activity enjoyment). In serum BDNF no difference was observed between menstrual phases (p = 0.87). Nevertheless, HIIE increased BDNF concentration during two phases (p = 0.03). In addition, the magnitude of circulating BDNF changes (BDNFΔ) and VO2max showed an inverse relationship in follicular phase (r= -0.539, p = 0.046), whereas in luteal phase the BDNFΔ were negatively correlated with duration (r= -0.684, p = 0.007) and RPE (r= -0.726, p = 0.004) in GXT. No difference between menstrual phases was observed for POMS (p ≥ 0.05); however, HIIE attenuates tension (p < 0.01), depression (p < 0.01) and anger moods (p < 0.01), independently of menstrual phases. Subjective scales and Stroop-task did not show differences. Menstrual cycle does not affect BDNF, cognitive function, mood and exercise enjoyment, but HIIE increases peripheral BDNF and attenuate tension, depression and anger independently of menstrual phase. Besides, the BDNFΔ were correlated with fitness status in follicular phase, exhibiting higher changes in women with lower fitness status.