The present study aimed to shed light on contradictory findings about the effects of exercise on negative affect during smoking cessation. The authors hypothesized that smoking-specific weight concern would moderate the relationship between exercise and negative affect. Baseline measures of smoking-specific weight concern, exercise, and negative affect were completed by 146 women participating in a randomized controlled trial of smoking cessation plus weight control. Exercise and negative affect were reassessed 1 week after the quit date. Among women with heightened smoking-specific weight concern, greater engagement in exercise was associated with less of an increase in negative affect. Results suggest that exercise may help temper negative affect states for women with heightened smoking-specific weight concern.