This study explored the influence of self-selected music on affect-regulated exercise intensity and remembered pleasure. A total of 17 active male and female participants (28.1 ± 9.9 years; BMI 23.8 ± 3.2 kg/m2; oxygen uptake (VO2) peak 48.73 ± 8.73 ml.min−1.kg−1) completed a maximal exercise test, and each individual’s ventilatory threshold was identified. Following this, two treadmill exercise trials were performed at an intensity that was perceived to correspond to a Feeling Scale value of +3 (i.e., “good”). Sessions with either self-selected music or no music were completed 48 hr apart and in a randomized counterbalanced order. Affective responses (Feeling Scale) and heart rate were measured during exercise and remembered pleasure was measured 5 min post exercise. Results indicated that participants selected an exercise intensity that exceeded their ventilatory threshold during the two affect-regulated exercise sessions (p = .002, d = .99). Participants exercised with greater intensity during affect-regulated exercise with music than without (p = .045; d = 1.12) while maintaining a “good” feeling. Furthermore, participants recalled the music session as more pleasurable than the no-music session (p = .001; d = .72). These results illustrate a positive ergogenic and psychological influence of music during affect-regulated exercise. Encouraging individuals to exercise at an intensity that feels “good” elicits an exercise intensity sufficient to garner cardiorespiratory benefits and may lead to improved adherence. Moreover, the use of self-selected music appears to augment this effect.