Public exercise facilities have recently emerged across China. This study aims to investigate the impacts of exercise intensity and thermal environment on thermal responses as well as examine the dynamic changes and differences in thermal responses during exercise. Using a controlled thermal chamber, university students were assessed at varying walking speeds under six thermal conditions, from −15 to 35 °C. Their psychological and physiological responses were observed and recorded in real time during the thermal adaption, exercise, and rest phase. Firstly, the exercise intensity significantly affected heart rate and metabolic rate, whereas the thermal environment had no significant effect. The effect of the thermal environment on skin temperature, thermal sensation vote (TSV), and thermal comfort vote (TCV) was more pronounced than that of exercise intensity. Secondly, during exercise, the metabolic rate took 6–9 min to stabilise, and the psychological response lagged compared to the physiological response. Thermal sensation was closest to neutral at 15 °C, 5 °C, and −5 °C when walking at 3 km/h, 4.50 km/h, and 6 km/h, respectively. Thermal comfort vote (TCV) levels were greater for higher exercise intensities at −15 to 5 °C, lower for higher exercise intensities at 25–35 °C, and similar for varied exercise intensities at 15 °C. Finally, current thermal comfort guidelines underestimate the exercise metabolic rate by at least 9.7%. This study helps clarify the dynamic changes and influence factors of thermal responses during exercise and provides a reference for future research on exercisers’ thermal responses.