Purpose: The primary aims of this study were to examine the effects of 9 weeks of aerobic training, comprising three 30-min sessions per week, on V̇O_2max, inhibitory control, and plasma brain-derived neurotrophic factor (BDNF) levels among adolescents aged 16–19 years. Methods: One hundred twenty-one untrained or recreationally active adolescents from a Danish high school were enrolled in the study, with 58 females (17.8 ± 0.8 years) and 27 males (18.0 ± 0.9 years) completing it. Participants were randomly divided into three groups performing aerobic training at either moderate-intensity (MIT: 60%–70% heart rate reserve [HRR]) or high-intensity (HIT: 80%–100% HRR) or a passive control group (CON) continuing their habitual lifestyle. Both the training groups exercised for 3×30 min per week for 9 weeks using a combination of cycling and running. Before and after the intervention period maximal oxygen uptake (V̇O_2max) and the primary outcomes (inhibitory control measured by a modified flanker task, and resting plasma levels of BDNF) were evaluated. Results: After the intervention period, the HIT group demonstrated a larger increase in V̇O_2max compared to both the CON and MIT groups, while no significant effects were observed on inhibitory control or plasma BDNF levels in any training group. However, compared to the CON group, the HIT group exhibited a tendency for greater improvement in the flanker interference score (accuracy), attributable to enhanced accuracy on the incongruent stimuli from pre to post. Conclusion: Aerobic training in adolescents increased cardiorespiratory fitness in an intensity-dependent manner, but no clear effects were observed on neither inhibitory control nor resting plasma BDNF levels. Clinical Trial Registration: ClinicalTrials.gov: NCT02075944.