The use of heart rate variability (HRV) parameters during exercise is not supported by appropriate reliability studies. In 80 healthy adults, ECG was recorded during three 6 min bouts of exercise, separated by 6 min of unloaded cycling. Two bouts were at a moderate intensity while the final bout was at a heavy exercise intensity. This protocol was repeated under the same conditions on three occasions, with a controlled start time (pre-determined at the first visit). Standard time and frequency domain indices of HRV were derived. Reliability was assessed by Bland–Altman plots, 95% limits of agreement and intraclass correlation coefficients (ICC). The sample size required to detect a mean difference ≥30% of the between-subject standard deviation was also estimated. There was no systematic change between days. All HRV parameters demonstrated a high degree of reproducibility during baseline (ICC range: 0.58–0.75), moderate (ICC: 0.58–0.85) and heavy intensity exercise (ICC range: 0.40–0.76). The reproducibility was slightly diminished during heavy intensity exercise relative to both unloaded baseline cycling and moderate exercise. This study indicates that HRV parameters can be reliably determined during exercise, and it underlines the importance of standardizing exercise intensity with regard to fitness levels if HRV is to be reliably determined.