The electrodermal activity (EDA) is a useful tool for assessing skin sympathetic nervous activity. Using spectral analysis of EDA data at rest, we have previously found that the spectral band which is the most sensitive to central sympathetic control is largely confined to 0.045 to 0.25 Hz. However, the frequency band associated with sympathetic control in EDA has not been studied for exercise conditions. Establishing the band limits more precisely is important to ensure the accuracy and sensitivity of the technique. As exercise intensity increases, it is intuitive that the frequencies associated with the autonomic dynamics should also increase accordingly. Hence, the aim of this study was to examine the appropriate frequency band associated with the sympathetic nervous system in the EDA signal during exercise. Eighteen healthy subjects underwent a sub-maximal exercise test, including a resting period, walking, and running, until achieving 85% of maximum heart rate. Both EDA and ECG data were measured simultaneously for all subjects. The ECG was used to monitor subjects' instantaneous heart rate, which was used to set the experiment's end point. We found that the upper bound of the frequency band (Fmax) containing the EDA spectral power significantly shifted to higher frequencies when subjects underwent prolonged low-intensity (Fmax ~ 0.28) and vigorous-intensity exercise (Fmax ~ 0.37 Hz) when compared to the resting condition. In summary, we have found shifting of the sympathetic dynamics to higher frequencies in the EDA signal when subjects undergo physical activity.