Ultra-short-term heart rate variability (HRV) has been validated in the resting state, but its validity during exercise is unclear. This study aimed to examine the validity in ultra-short-term HRV during exercise considering the different exercise intensities. HRVs of twenty-nine healthy adults were measured during incremental cycle exercise tests. HRV parameters (Time-, frequency-domain and non-linear) corresponding to each of the 20% (low), 50% (moderate), and 80% (high) peak oxygen uptakes were compared between the different time segments of HRV analysis (180 s (sec) segment vs. 30, 60, 90, and 120-sec segments). Overall, the differences (bias) between ultra-short-term HRVs increased as the time segment became shorter. In moderate- and high-intensity exercises, the differences in ultra-short-term HRV were more significant than in low intensity exercise. Thus, we discovered that the validity of ultra-short-term HRV differed with the duration of the time segment and exercise intensities. However, the ultra-short-term HRV is feasible in the cycling exercise, and we determined some optimal time duration for HRV analysis for across exercise intensities during the incremental cycling exercise.