An experiment was conducted with 48 healthy young adults engaged in a supervised 10-week exercise program to determine whether a placebo effect is involved within the exercise-psychological enhancement connection. Based on an expectancy modification procedure, one-half of the subjects were led to believe that their program was specifically designed to improve psychological well-being (experimental condition) whereas no such intervention was made with the second half (control condition). Expectations for psychological benefits and aerobic capacity (VO2max) were measured before and after completion of the program. Self-esteem, as the indicator of psychological well-being, was measured on four specific occasions: at the beginning, after the fourth and seventh weeks, and upon completion of the training program. The results showed similar significant increases in fitness levels in both conditions. Moreover, self-esteem was significantly improved over time in the experimental but not in the control condition. These findings provide evidence to support the notion that exercise may enhance psychological well-being via a strong placebo effect. Implications of the results with regard to exercise prescription are discussed.