The present study was designed to examine the effects of listening to music during exercise of moderate intensity on mood, state anxiety, and time to exhaustion as well as to evaluate sex differences in 27 physically active (14 men, 13 women) subjects between the ages of 20 and 30 years. Participants completed the Profile of Mood States and the State Anxiety Inventory before and after treadmill running in Music and No music conditions. Music and No Music conditions were randomly assigned, and participants exercised at 75% of their Heart Rate Reserve until voluntary exhaustion. Analysis indicated participants reported statistically significant mean changes on Tension, Depression, Fatigue, Confusion, and State Anxiety. However, the findings for emotions yielded no significant effect of music, except findings suggested that women, but not men, reported greater mean Fatigue after exercising in the presence of music than in its absence. Also, there was a statistically significant finding suggesting that women exercised longer with music than without.