This study examined the contribution of daily experiences and acute exercise to fluctuations in feeling states of older, obese adults with knee osteoarthritis and explored the role of perceived physical function and general health perceptions as moderator variables. Using an experience sampling procedure, a total of 964 feeling state assessments were recorded and coded into samplings that occurred either on a nonexercise day or prior to or following scheduled activity on an exercise day. Multilevel modeling analyses controlling for the influence of subjective stress, contemporaneous pain reports, and diurnal variations revealed that physical exhaustion was higher immediately following exercise. Analyses of the moderator variables demonstrated that general health perceptions and perceived physical function accounted for significant portions of between-subject variance with more positive perceptions of each variable being related to higher levels of pleasant feeling states and lower feelings of physical exhaustion. However, perceived physical function and general health perceptions did not influence feeling states that emerged in conjunction with physical activity. The present findings suggest that whereas daily fluctuations in feeling states are influenced by perceived physical function and general health perceptions, older adults with knee OA do not exhibit the improvements in feeling states that have often been observed following acute exercise in younger, more physically active populations.