To investigate the relationship between cognitive and affective responses during acute exercise, 24 low-active females completed two 30-min bouts of cycle ergometer exercise at 90% of the ventilatory threshold. In one condition participants had full knowledge of the exercise duration (KD); in the other, exercise duration was unknown (UD). Affect and self-efficacy were measured before and every 3 min during exercise, and affect was also measured postexercise. Affect declined throughout the first half of both conditions, and continued its decline until the end of the UD condition, when a rebound effect was observed. Self-efficacy during exercise displayed a similar pattern. Hierarchical regression analyses demonstrated that during-exercise self-efficacy was a stronger predictor of during-exercise affect than preexercise self-efficacy, and that this relationship was strongest at the end of exercise when duration was unknown. These results indicate that repetitive cognitive appraisal of self and the task could impact the exercise experiences of low-active women during the adoption phase of an exercise program.