Purpose: Increasing physical activity among adolescents is a public health priority. Because people are motivated to engage in activities that make them feel good, this study examined predictors of adolescents' feelings during exercise. Method: During the 1st semester of the school year, we assessed 6th-grade students' (N = 136) cognitive appraisals of the importance of exercise. Participants also reported their affect during a cardiovascular fitness test and recalled their affect during the fitness test later that semester. During the 2nd semester, the same participants rated their affect during a moderate-intensity exercise task. Results: Affect reported during the moderate-intensity exercise task was predicted by cognitive appraisals of the importance of exercise and by misremembering affect during the fitness test as more positive than it actually was. This memory bias mediated the association between appraising exercise as important and experiencing a positive change in affect during the moderate-intensity exercise task. Conclusion: These findings highlight the roles of both cognitive appraisals and memory as factors that may influence affect during exercise. Future work should explore whether affect during exercise can be modified by targeting appraisals and memories related to exercise experiences.