Background: Despite important advances in the relationship between exercise and mood disorders, especially regarding moderate-intensity continuous training, there is a lack of information about the chronic effects of interval training protocols. We compared the effects of two different interval training protocols [sprint interval training (SIT) and high-intensity interval training (HIIT)] on depressive and anxious symptoms in healthy women. Methods: Thirty-six women were randomly allocated to HIIT (n = 18) or SIT (n = 18) groups and performed 24 training sessions over 8 weeks (thrice a week). Levels of state–trait anxiety and depressive symptoms were evaluated using State–Trait Anxiety Inventory and Beck Depression Inventory, respectively, before and after training intervention. Results: Two-way analysis of variance (ANOVA) did not reveal a significant effect of time (p > 0.05), group intervention (p > 0.05), or time × group interaction (p > 0.05) on state–trait anxiety; however, two-way ANOVA showed a significant effect of time on depressive symptoms (p = 0.025) but not group effect (p = 0.548) or time × group interaction (p = 0.373). Depressive symptoms of the participants in both HIIT and SIT groups were reduced from baseline, (ΔHIIT) −17.5 ± 27.9% and (ΔSIT) −28.6 ± 47.5%, respectively. Conclusion: HIIT and SIT groups similarly improved depressive symptoms but not anxiety levels in healthy and physically active young adult women.