Dysmenorrhea with high prevalence has been categorized as primary dysmenorrhea (PD) and secondary dysmenorrhea due to differences in pathogenesis. A significant number of reproductive females suffering from monthly menstruation have to deal with negative impacts on their quality of life, work/study productivity, activities, and social relationships. In addition to medical treatment, exercise has been recognized as a complementary and alternative strategy for disease prevention, alleviation, and rehabilitation. This study aimed to investigate the potential effects of exercise on the severity of primary dysmenorrhea, physiological modulation, and physical fitness. Participants consisted of university students who were enrolled in the study and divided into a non-PD (Control) and a PD group based on recruiting criteria, the latter being randomly assigned to either an untreated dysmenorrhea group or a dysmenorrhea group that underwent 10 weeks of high intensity interval training (HIIT) exercise (Dysmen and DysmenHIIT, respectively). The DysmenHIIT group used spinning bikes and the training intensity was validated by heart rate monitors and BORG rating of perceived exertion. Forms containing participant information (premenstrual symptoms, menstrual distress, and a Short Form McGill Pain Questionnaire) as well as physical fitness, biochemical variables, hormone and prostaglandin (PGE2 and PGF2α) levels were assessed before and after the exercise intervention. After intervention, premenstrual symptoms (anger, anxiety, depression, activity level, fatigue, etc.), menstrual distress symptoms (cramps, aches, swelling, etc.), and pain severity were shown to be significantly mitigated, possibly through hormone (estradiol, prolactin, progesterone, and cortisol) modulation. Furthermore, high-sensitivity C-reactive protein (HsCRP), PGE2 and PGF2α levels were also down-regulated, resulting in the amelioration of uterine contraction and inflammation. Participants’ physical fitness, including cardiovascular endurance and explosive force, was significantly improved after HIIT. The 10-week HIIT spinning bike exercise used in this study could be employed as a potential and complementary treatment for PD symptoms alleviation and considered as part of an educational health plan for promoting women’s health. However, the effects of HIIT utilizing different exercise methods and accounting for different age populations and secondary PD warrant further investigation.