Physical activity (PA) is positively associated with affective well-being in adults. This study investigated the moderating role of the competence for PA-related affect regulation in the PA–affect association in real-life situations. A total of 37 women and 27 men completed an ecological momentary assessment study in which the authors used accelerometers to record PA and e-diaries to collect data on affective well-being on 4 study days. They applied multilevel analyses to estimate the within-person effects of PA on affective well-being and cross-level interactions between PA (within person) and PA-related affect regulation (between persons). Results revealed cross-level interaction effects between within-person PA variations and competence for PA-related affect regulation on the affect dimensions of calmness (p < .01) and valence (p = .04). Thus, the competence for PA-related affect regulation moderates the PA–affect association in real-life situations. Therefore, individual-based PA promotion should consider these individual differences to develop tailored interventions.