At least 60 min of daily physical activity (PA) are recommended for weight control, a target achieved by only 3% of obese (OB) women. The purposes of this study were to examine (i) the affective responses of normal-weight (NW), overweight (OW), and OB middle-aged sedentary women to exercise of increasing intensity and (ii) the relationship of affective responses to self-efficacy and social physique anxiety. The women participated in a graded treadmill protocol to volitional exhaustion while providing ratings of pleasure–displeasure and perceived activation each minute. The Activation Deactivation Adjective Check List (AD ACL) was also completed before and after exercise. The affective responses of NW and OW women did not differ. However OB women gave lower pleasure ratings during the incremental protocol and reported lower Energy scores immediately after the protocol. Social physique anxiety, but not self-efficacy, was inversely related to pleasure and energy. The lower levels of pleasure and energy experienced by OB than nonobese women could account in part for their dramatically low levels of PA participation. Modifying the cognitive antecedents of social physique anxiety might be a useful intervention strategy.