(1) Background: Type 1 diabetes mellitus (T1DM) people’s health-related quality of life (HRQoL) is affected by glycemic control. Regular exercise is strongly recommended to these patients due to its cardiovascular and metabolic benefits. However, a large percentage of patients with T1DM people present a sedentary behavior because of the fear of a post-exercise hypoglycemia event, lack of time, lack of motivation and the complicated management of exercise, glycemic and insulin dose interaction. High-intensity interval training (HIIT) is an efficient and safe methodology since it prevents hypoglycemia and does not require much time, which are the main barriers for this population to doing exercise and increasing physical conditioning. (2) Methods: Nineteen sedentary adults (37 ± 6.5 years) with T1DM, were randomly assigned to 6 weeks of either HIIT (12-16-20 × 30-s intervals interspersed with 1-min rest periods) performed thrice weekly, or to the control group, which did not train. HRQoL, sleep quality, exercise motivation and enjoyment were measured as psychological variables. (4) Results: HRQoL improved in physical and social domains, PF (1.9%); PR (80.3%); GH (16.6); SF (34.1%). Sleep quality improved in the HIIT group by 21.4%. Enjoyment improved by 7% and intrinsic motivation was increased by 13%. (5) Conclusions: We suggest that the 6-week HIIT program used in the present study is safe, since no severe hypoglycemia were reported, and an effective strategy in improving HRQoL, sleep quality, exercise motivation and enjoyment which are important psychological well-being factors in T1DM people.