Negative affect impacts cognition, and sometimes may interfere with cognitive function. Furthermore, emotion regulation is thought to play an important role in easing the suffering from negative affect. However, whether acute exercise could ease the emotional interference caused by unconscious affect on cognitive control, remains to be investigated. To test this, we used behavioral measures combined with event-related potentials (ERPs) to specifically investigate (i) the impacts of negative affect evoked by implicit cues on conflict inhibition (Flanker task), and (ii) whether acute exercise could mitigate these effects. Furthermore, we examined (iii) the impact of acute exercise on frontal alpha asymmetry as an index of cognitive emotional down-regulation to emotional stressors. Forty young women (age range from 18 to 26) were randomly assigned to either a control group (n = 20) or an exercise group (n = 20), and a repeated-measures design with a space of one week between measures was conducted. Results demonstrated that negative Flanker trials produced larger N1 amplitude but smaller N200 amplitude than neutral trials; furthermore, acute exercise could mitigate emotional effects on N1. However, significant effects of acute exercise on the resting and responding frontal alpha asymmetry were not found. The distinct direction of the impacts of negative affect on cognition are discussed together with implications about the effects of attention allocation on exercise-enhanced emotion regulation.