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Objective: Research shows that high anxiety sensitivity (AS) and dysphoria are related to poor smoking cessation outcomes. Engaging in exercise may contribute to improvement in smoking cessation outcomes through reductions in AS and dysphoria. In the current study, we examined whether exercise can aid smoking cessation through reductions in AS and dysphoria. Method: Participants were sedentary and low activity adult daily smokers (N = 136) with elevated AS who participated in a randomized controlled trial comparing smoking cessation treatment (ST) plus an exercise intervention (ST + EX) to ST plus wellness education (ST + CTRL). Self-reported smoking status was assessed in-person weekly from baseline through week 16 (end of-treatment; EOT), at week 22 (4 months postquit day), and at week 30 (6 months postquit day), and verified biochemically. Results: Results indicated that both AS and dysphoria at 6-month follow-up were significantly lower in the ST + EX group compared to the ST + CTRL group (controlling for baseline levels). Moreover, reductions in AS and dysphoria emerged as independent mechanisms of action explaining success in quitting. Conclusions: These novel findings offer clinically significant evidence suggesting that vigorous-intensity exercise can effectively engage affective constructs in the context of smoking cessation.