In order to examine whether environmental settings influence psychological and physiological responses of women with obesity during self-paced walking, 38 women performed two exercise sessions (treadmill and outdoors) for 30 min, where oxygen uptake, heart rate, ratings of perceived exertion, affect, attentional focus, enjoyment, and future intentions to walk were analyzed. Physiological responses were similar during both sessions. However, during outdoor exercise, participants displayed higher externally focused attention, positive affect, and lower ratings of perceived exertion, followed by greater enjoyment and future intention to participate in outdoor walking. The more externally focused attention predicted greater future intentions to participate in walking. Therefore, women with obesity self-selected an appropriate exercise intensity to improve fitness and health in both environmental settings. Also, self-paced outdoor walking presented improved psychological responses. Health care professionals should consider promoting outdoor forms of exercise to maximize psychological benefits and promote long-term adherence to a physically active lifestyle.