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The primary purpose of this study was to propose and test a mediation model of changes in physical self-efficacy, physical self-perceptions, and affect as mediators by which a single bout of exercise improves state body image. A secondary purpose was to identify how long improvements in state body image are sustained post-exercise. Sixty university-aged women (19.57 ± 1.37 y) with pre-existing body image concerns, and who exercised regularly, were randomized to perform 30 min of moderate-to-vigorous intensity exercise or quiet reading. State body image, physical self-efficacy, physical self-perceptions and affect were assessed. Mediational analyses revealed self-perceptions of body fatness (95% CI [0.03, 0.44], κ2 = 0.13, abps = 0.20) and strength (95% CI [0.15, 0.60], κ2 = 0.23, abps = 0.33) mediated improvements in state body image which were sustained at least 20 min post-exercise. These results contribute to the development of a model explaining the effects of exercise on body image and practical recommendations for the use of exercise to improve body image.This is the first study to propose and test an exercise and state body image model.Exercise improved body image via improved self-perceptions of body fat & strength.Physical self-efficacy and affect were not significant mediators.State body image improvements were sustained up to 20 min post-exercise.Results have important practical and theoretical implications.