This study aimed to investigate the effects of Pilates exercise and Pilates exercise integrated with a mental training program on physical, psychological, and cognitive parameters in women. The study was conducted with 30 female participants aged 19–23, who were randomly assigned to two groups: Pilates and Pilates + Mental Training. Both groups underwent interventions twice a week for eight weeks. The data were analyzed using the SPSS statistical software package at a significance level of p < 0.05. The Kolmogorov-Smirnov test was used to assess whether the data followed a normal distribution. Descriptive statistics, independent sample T test and a repeated-measures ANOVA (mixed design) were conducted. Results showed significant improvements in weight, body mass index (BMI), muscle percentage, static balance, dynamic balance, and flexibility within both groups; however, no significant group × time interaction was found for these physical parameters. Regarding psychological variables (depression, anxiety, stress, social physique anxiety, and mental toughness), both groups showed improvements, with significantly greater changes in the Pilates + Mental Training group (significant group × time interaction). In cognitive assessments using the Stroop test, significant improvements in reaction times were found in both groups, with a notable advantage for the Pilates + Mental Training group on Card 2, which requires greater attentional control and mental flexibility. Additionally, this group reported significantly lower perceived exertion levels on the Borg scale. In conclusion, while Pilates exercise alone contributes to enhanced physical fitness and psychological well-being, the addition of mental training appears to further boost psychological and cognitive outcomes, making the combined approach a more effective intervention for holistic development.