The aim of this study was to compare the effects of acute aerobic and strength exercises on selected executive functions. A counterbalanced, crossover, randomized trial was performed. Forty-two healthy women were randomly submitted to three different conditions: (1) aerobic exercise, (2) strength exercise, and (3) control condition. Before and after each condition, executive functions were measured by the Stroop Test and the Trail Making Test. Following the aerobic and strength sessions, the time to complete the Stroop “non-color word” and “color word” condition was lower when compared with that of the control session. The performance in the Trail Making Test was unchanged. In conclusion, both acute aerobic and strength exercises improve the executive functions. Nevertheless, this positive effect seems to be task and executive function dependent.