This study examined the feasibility of a non-laboratory approach that uses machine learning on multimodal sensor data to predict relative physical activity (PA) intensity. A total of 22 participants completed up to 7 PA sessions, where each session comprised 5 trials (sitting and standing, comfortable walk, brisk walk, jogging, running). Participants wore a wrist-strapped sensor that recorded heart-rate (HR), electrodermal activity (Eda) and skin temperature (Temp). After each trial, participants provided ratings of perceived exertion (RPE). Three classifiers, including random forest (RF), neural network (NN) and support vector machine (SVM), were applied independently on each feature set to predict relative PA intensity as low (RPE ≤ 11), moderate (RPE 12–14), or high (RPE ≥ 15). Then, both feature fusion and decision fusion of all combinations of sensor modalities were carried out to investigate the best combination. Among the single modality feature sets, HR provided the best performance. The combination of modalities using feature fusion provided a small improvement in performance. Decision fusion did not improve performance over HR features alone. A machine learning approach using features from HR provided acceptable predictions of relative PA intensity. Adding features from other sensing modalities did not significantly improve performance.