Working women in Shanghai are a high-risk group of suffering work stress and burnout. Women have been found to be affected by work-family conflicts, which results in lower health-related quality of life (HRQoL), higher job stress, and burnout. This study evaluated the potential physical activity and counselling intervention effects on health outcomes of working women in Shanghai. Participants were randomly recruited from eight communities of Shanghai using the stratified cluster sampling method. A total of 121 female workers took part in this study, who were randomly divided into three groups: a control group and two intervention groups (individual-based and group-based intervention). The first intervention involved a moderate physical activity program and an individual based counselling intervention, while the second included the same physical activity program, but with a group counselling approach. Both interventions lasted 12 weeks. Subjective perceptions of work stress, burnout, and HRQoL were measured before and after the intervention. In the control group, the HRQoL value decreased after the intervention, with the mean value falling from 91.59 to 87.10, while there was no significant difference found between participants for stress (p = 0.752) and burnout (p = 0.622) before and after the intervention. After the intervention, the value of stress and burnout decreased, and the value of HRQoL increased in the two intervention groups. At the intervention’s completion, there were significant differences compared between the two intervention groups and the control group separately regarding changes in burnout and HRQoL (all p = 0.000). For stress, the group-based intervention group exhibited a significant difference compared to the control group (p = 0.000), while the individual-based intervention group did not (p = 0.128). A Physical activity and counselling intervention delivered either in a group or individual format could reduce stress, burnout, and improve HRQoL of working women in Shanghai, and the group interventions were potentially more effective than those targeted at individuals.