Introduction: Regular aerobic exercise and low-fat milk consumption can improve certain cognitive functions and reducing emotional distress. However, the impacts of combining these modalities are less explored. Thus, the present study examined the effects of combining aerobic exercise and low-fat milk intake among sedentary female students. Methods: Using a nonrandomized pretest – posttest with a control group research design, 85 sedentary females aged 16 years old were assigned into either milk (n = 21), exercise (n = 22), combined low fat milk and exercise (n = 23), or control (n = 19) groups. One serving of low-fat milk was provided to the students during each school day, and a 1-hour supervised step aerobics exercise was conducted twice per week for 3 months. Emotional distress and sustained attention were measured at baseline, 6th and 12th weeks after the intervention. A mixed factorial ANOVA was used to analyse the data. Results: The results revealed significantly less emotional distress in the combined (p < 0.01) and exercise groups (p < 0.05) compared with the control group after 12 weeks. Additionally, significant reductions were observed in the total time taken and errors of omission for both digits 6 and 9 of the Digit Vigilance Test in the combined group (p < 0.05, p < 0.001) compared with the control group. Conclusions: The results showed that low fat milk alone did not provide any additional benefits related to distress regulation, but the combination of exercise and low-fat milk contributed to improving sustained attention.