Eighty volunteers were tested in their natural exercise environment consisting of a fitness centre they regularly attended. Half of the sample exercised on a stationary bicycle, the other half on a treadmill. All participants filled in the Exercise-Induced Feeling Inventory before and after their 20 min of exercise that was performed at self-selected workload. The results revealed that exercise intensity and the other parallel measures like heart rate, perceived exercise intensity and estimates of burned calories were higher in participants who ran in contrast to those who cycled. There were no differences in self-reports of enjoyment of the exercise sessions and in the psychological improvements from pre- to post-exercise between the groups. It is concluded that significant psychological improvements occur even after a 20-min bout of exercise and these changes are independent of the workload or exercise intensity.