The purpose of this study is to assess the accuracy of a multisensor activity monitor in measuring energy expenditure (EE) using an incremental exercise test. The SenseWear Pro3 Armband (SWA) has been shown a valid and practical tool in measuring the EE of daily living activities but shows significant errors in estimating EE of activities of vigorous and very vigorous intensity. Recently, a new algorithm was developed for SWA (SWA v5.2). The aim of this study was to validate the new SWA algorithm in assessing EE using an incremental exercise test. Data were obtained from 44 students (age, 21.1 ± 1.4 years). During an incremental running test, EE estimates of the SWA were compared with the indirect calorimetry (IC). A paired t-test, Bland and Altman plots, and correlation coefficients were used as statistical techniques. Compared with the IC, the SWA showed no significant difference when walking at 1.5 m·s (p = 0.901) but significantly underestimated EE at higher speeds starting from a jogging speed of 1.67 m·s for men and from a running speed of 2 m·s for women. The underestimation increased significantly with increasing intensity in both male and female participants. The accurate measurement of EE at moderate intensity makes the monitor a valid tool in estimating daily life activities. However, our study results question the applicability of the monitor for individuals willing to monitor their EE during vigorous or very vigorous exercise intensities because a significant underestimation of the new algorithm is still present. In future, the EE algorithm needs to be further adjusted to give an accurate estimate of EE for high-intensity exercises.