The aim of the present study was to investigate the effects of an audio-guided mindfulness (MF) single session on psychological and psychophysiological responses during an outdoor walking task. Twenty-four participants (12 females and 12 males; M  = 23.6, SD = 3.9 years) were required to walk 200 m at a pace of their choosing. Two experimental conditions (mindfulness meditation and mindlessness [ML] meditation) and a control condition (CO) were administered. Electrical activity in the brain was measured by the use of a portable electroencephalography (EEG) system during walking. Fast Fourier Transform was used to decompose the EEG samples into theta (5-7 Hz), alpha (8-14 Hz), and beta (15-29 Hz) frequencies. Brain connectivity analysis between frontal and temporo-parietal electrode sites was conducted to explore functional interactions through the use of spectral coherence. Affective and perceptual responses were measured by the use of single-item scales and questionnaires. The present findings indicate that MF was sufficiently potent to reallocate attention toward task-related thoughts, downregulate perceived activation, and enhance affective responses to a greater degree than the other two conditions. Conversely, ML was sufficient to increase the use of dissociative thoughts, make participants less aware of their physical sensations and emotions, induce a more negative affective state, and upregulate perceived activation to a greater extent than MF and CO. The brain mechanisms that underlie the effects of MF on exercise appear to be associated with the enhanced inter-hemispheric connectivity of high-frequency waves between right frontal and left temporo-parietal areas of the cortex.