ABSTRACT Aerobic exercise is frequently used as an intervention for depression and smoking cessation because of its antidepressant and anxiolytic effects. Distress intolerance (DI) is a proposed individual difference factor that, coupled with a higher rating of perceived exertion during exercise, may significantly impact the acute mood and anxiolytic effects of exercise. The current study examined the interactive effect of maximum rating of perceived exertion (RPE) and DI on change in mood and anxiety. Treatment-seeking smokers (M age = 45.32; 72% female) with elevated depressive symptoms completed a 1-mile treadmill walk at their preferred intensity and self-reported their RPE during the test. Analyses were conducted to examine whether there was an interactive effect of maximum RPE and DI on change in self-reported mood and anxiety from before to after the walk test. Findings indicate a significant moderating effect of RPE at lower ratings. Individuals reporting a low maximum RPE and higher DI exhibit a greater change in mood over the course of an exercise session, whereas individuals reporting a low maximum RPE and a lower DI exhibit smaller changes in mood. These results indicate that the subjective effects of exercise within a population of cigarette smokers could be improved by tailoring exercise intensity to individual characteristics. Mild to moderate-intensity exercise, as compared to high-intensity exercise, may result in greater changes in mood for individuals endorsing difficulty tolerating affective and physical distress.