Myriad research indicates that physical activity and natural environments enhance cognitive performance and mental health. Much of this research is cross-sectional or involves physical activity in outdoor environments, rendering it difficult to ascribe the results to a particular condition. This study utilized electroencephalography (EEG) and established cognitive performance tasks to determine the impact of a short intervention including either walking or sitting in an outdoor environment. In this experiment, a total of 50 participants were randomized into walking and sitting groups, with cognitive performance measured before, after, and 10 min post intervention. Both groups demonstrated improvements in cognitive performance, with no significant difference between groups. Elevated levels of relaxation during the intervention were the best predictor of post-test performance. Participants reporting a higher connection to nature, as well as state-based mindfulness during the outdoor intervention, also reported lower levels of frontal theta (i.e., rumination) during the interaction, while the walking group demonstrated higher relaxation. These findings provide a direct connection to neural mechanisms influenced by physical activity and the natural environment, and their impact on cognitive performance. This supports Attention Restoration Theory and the effectiveness of short outdoor interventions incorporating physical activity as a method of restoring mental attention.