Both physical and mental effort are thought to affect vigilance. Mental effort is known for its vigilance declining effects, but the effects of physical effort are less clear. This study investigated whether these two forms of effort affect the EEG and subjective alertness differently. Participants performed a physical task and were subsequently presented with a mental task, or vice versa. Mental effort decreased subjective alertness and increased theta power in the EEG. Both results suggest a vigilance decline. Physical effort, however, increased subjective alertness and alpha and beta1 power in the EEG. These findings point towards an increase in vigilance. Beta2 power was reduced after physical effort, which may reflect a decrease in active cognitive processing. No transfer effects were found between the effort conditions, suggesting that the effects of mental and physical effort are distinct. It is concluded that mental effort decreases vigilance, whereas physical effort increases vigilance without improving subsequent task performance.