Social exclusion can produce harmful affective and cognitive responses that undermine healthy functioning. Physical activity is known to have acute affective and cognitive effects that are adaptive and therefore may mitigate these responses. The purpose of this study was to assess walking as a strategy to reduce the effects of social exclusion on affect and working memory performance. Healthy female college students (N = 96, M age = 19.2 ± 0.8 years) were randomly assigned to one of four experimental conditions: (a) sedentary plus neutral feedback, (b) sedentary plus exclusion feedback, (c) walking plus neutral feedback, or (d) walking plus exclusion feedback. Pre- and postactivity and pre- and postfeedback measures of affect and working memory performance were recorded. Excluded participants had a significant negative shift in affect following feedback, p < .05. Those who were sedentary prior to exclusion had lower affect scores following exclusion than the walking plus exclusion and neutral feedback conditions, p < .05. There were no direct effects of walking or social exclusion on working memory. However, perceptions of being ignored predicted smaller improvements in working memory performance for participants who were sedentary prior to exclusion, p < .05. The findings suggest that walking prior to social exclusion may mitigate the affective response to social exclusion as well as social perceptions that can undermine working memory. More broadly, this work supports continued examination of physical activity as a potential strategy for helping individuals cope with negative social experiences.