Acute exercise performed at a self-selected intensity improves affect and may improve long-term adherence. Similarly, in people with severe depression, acute aerobic exercise performed at self-selected intensity improves affect and arousal. However, the relationship between changes in affect and arousal and perceived exercise intensity in people with mental illness has not been evaluated. Affect and arousal were assessed immediately prior to, and immediately following, a group exercise program performed at a self-selected intensity in 40 inpatient mental health consumers who received a diagnosis of anxiety or bipolar or depressive disorders. Exercise intensity was assessed immediately after exercise. Postexercise affect was significantly improved for people with bipolar and depressive disorders but not for people with anxiety disorders. For the group as a whole, results showed a significant curvilinear relationship between ratings of perceived exertion and postexercise affect. These data will inform the development and delivery of future exercise interventions for inpatient mental health consumers.