Self-selected workloads are shown to be more enjoyable than researcher-selected workloads. In addition, it is unclear if sedentary adults find aerobic interval or continuous exercise more pleasant. Therefore, the primary purpose of this study was to determine the effects of two acute bouts (interval vs. continuous) of self-selected moderate-intensity treadmill exercises on perceived enjoyment and self-efficacy towards exercise in a sedentary cohort. Methods: Sixteen sedentary adults completed two 30 min bouts of moderate-intensity treadmill activity, one interval and one continuous. Participants blindly (could not see speed, grade, and heart rate) selected their own treadmill workload with guidance from the Borg RPE 6–20 scale. Post-exercise self-efficacy and perceived enjoyment were assessed using the Self-Efficacy for Exercise Scale and the Physical Activity Enjoyment Scale, respectively. Exercise workloads using treadmill speed and grade and exercise heart rate were compared between trials. Results: No significant differences were found between conditions for self-selected workloads (p = 0.62), self-efficacy (p = 0.58), perceived enjoyment (p = 0.41), and heart rate (p = 0.12). Discussion: Sedentary individuals reported no difference in self-efficacy or perceived exercise enjoyment. Participants were, however, adequate in self-selecting their own intensities with RPE guidance as there were no differences in the workloads across conditions. These results suggest that when able to self-select moderate-intensity exercise workloads, sedentary individuals equally enjoy both interval and continuous exercise.