The anxiolytic effect of exercise is well-established although the associated mechanism(s) are still debated. One proposed explanation is the thermogenic hypothesis. Existing studies have tested this hypothesis via manipulation of body temperature through clothing or exercise in water of varying temperatures. The purpose of this study was to test the thermogenic hypothesis via different environmental temperatures. Participants cycled for 60 minutes at 90% of ventilatory threshold with trials counterbalanced in thermo-neutral (18C/65F) vs. hot conditions (33C/91F). Anxiety was measured pre, post, and 30 minutes post exercise. Results revealed that anxiety was significantly higher after exercising in the hot condition vs. the thermo-neutral condition where anxiety decreased after exercise. Discussion of the thermogenic hypothesis, suggestions for future research and applied implications are provided.