The aim of this study was to assess the effect of exercise intensity on the thermal sensory function of active and inactive limbs. In a randomised and counterbalanced manner, 13 healthy young male participants (25 ± 6 years, 1.8 ± 0.1 m, 77 ± 6 kg) conducted: (1) 30-min low-intensity (50% heart rate maximum, HRmax; LOW) and (2) 30-min high-intensity (80% HRmax; HIGH) cycling exercises, and (3) 30 min of seated rest (CONTROL). Before, immediately after, and 1 h after, each intervention, thermal sensory functions of the non-dominant dorsal forearm and posterior calf were examined by increasing local skin temperature (1 °C/s) to assess perceptual heat sensitivity and pain thresholds. Relative to pre-exercise, forearm heat sensitivity thresholds were increased immediately and 1 hr after HIGH, but there were no changes after LOW exercise or during CONTROL (main effect of trial; p = 0.017). Relative to pre-exercise, calf heat sensitivity thresholds were not changed after LOW or HIGH exercise or during CONTROL (main effect of trial; p = 0.629). There were no changes in calf (main effect of trial; p = 0.528) or forearm (main effect of trial; p = 0.088) heat pain thresholds after exercise in either LOW or HIGH or CONTROL. These results suggest that cutaneous thermal sensitivity function of an inactive limb is only reduced after higher intensity exercise but is not changed in a previously active limb after exercise. Exercise does not affect heat pain sensitivity in either active or inactive limbs.