The affective changes associated with acute exercise have been studied extensively in exercise and health psychology, but not in affective psychology. This paper presents a summary of the relevant findings and a tentative theoretical model. According to this model, affective responses to exercise are jointly influenced by cognitive factors, such as physical self-efficacy, and interoceptive (e.g., muscular or respiratory) cues that reach the affective centres of the brain via subcortical routes. Furthermore, the balance between these two determinants is hypothesised to shift as a function of exercise intensity, with cognitive factors being dominant at low intensities and interoceptive cues gaining salience as intensity approaches the individual's functional limits and the maintenance of a physiological steady-state becomes impossible.