The purposes of this study were to investigate 1) the effects of acute exercise on affect, 2) changes in self-efficacy resulting from acute exercise and the relationship between affect and self-efficacy, 3) correlation of factors in the Waseda Affect Scale of Exercise and Durable Activity (WASEDA: Arai et al., 2003) during acute exercise. Thirty-eight university and graduate students were recruited as participants in this study. The parameters measured were 1) exercise-specific affects (WASEDA), 2) pleasure-displeasure (Feeling Scale: Rejeski, 1985), 3) self-efficacy for acute exercise, and 4) Rating of Perceived Exertion (RPE: Onodera and Miyashita, 1976). This study employed a 2 (condition)×5 (time) format, within a participant factorial design, consisting of three sessions (a trial session, a cycling session, and a control condition). For the cycling session, the participants performed cycling at a RPE intensity of 13 (feeling “Somewhat hard”) for 20 minutes. Under the control condition, the participants read a book for 20 minutes. The participants then reported their preferred affect and pleasure experienced during cycling in comparison to the control condition. Not only was self-efficacy increased through the exercise task, but also positive affect during the exercise task was related to self-efficacy after exercise. Because correlations of WASEDA factors during exercise were not too high, it was considered that none of the factors in WASEDA were redundant. In conclusion, the present findings indicate that 1) the effects of acute exercise on affect are positive, 2) enhancement of positive affect during exercise is related to higher self-efficacy for acute exercise, and 3) the use of WASEDA is effective for multilateral investigation of affect during acute exercise.