Abstract Textbooks of exercise psychology describe the relation between exercise and affect with the statement that “exercise makes people feel better.” However, this seems at odds with evidence that most people are not physically active. Reinvestigating this relation with an updated methodology, researchers have found that the “feel better” effect of exercise is present but conditional and that affective responses can predict subsequent physical activity. The following five questions are expected to inspire research in the coming years. First, what are the mechanisms of the “feel better” and “feel worse” responses? Second, how can we improve the affective experience of exercise? Third, how do affective experiences shape memories of exercise? Fourth, can affect-related messages replace traditional exercise promotion campaigns focusing on health benefits? Fifth, how do affective and reflective processes interact in determining exercise behavior?