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The present study examined the moderating influence of self-efficacy, baseline feeling states, and in-task feeling states on exercise-related feeling-state changes at moderate- and high-intensity exercise. Physically active females (N= 60) participated in 1 of 5 conditions: (a) attention control for 30 min, (b) exercise at 50% heart rate reserve (HRR) for 15 min, (c) exercise at 50% HRR for 30 min, (d) exercise at 85% HRR for 15 min, and (e) exercise at 85% HRR for 30 min. The Exercise-Induced Feeling Inventory (EFI; Gauvin & Rejeski, 1993) was completed pre-, during, and post-exercise, while self-efficacy was completed pre-exercise. Multilevel modeling (Bryk & Raudenbaush, 1992) revealed that pre-exercise self-efficacy and in-task tranquility moderated the change in tranquility for high-intensity exercise. Furthermore, baseline feeling states moderated the change in all 4 feeling states. It is recommended that baseline and in-task feeling states and self-efficacy be considered when examining high-intensity exercise.