Despite the well established physical and psychological benefits derived from leading a physically active life, rates of sedentary behaviour remain high. Dropout and non-compliance are major contributors to the problem of physical inactivity. Perceptions of exertion, affective responses (e.g. displeasure or discomfort), and physiological stress could make the exercise experience aversive, particularly for beginners. Shifting one's attentional focus towards environmental stimuli (dissociation) instead of one's body (association) has been theorized to enhance psychological responses and attenuate physiological stress. Research evidence on the effectiveness of attentional focus strategies, however, has been perplexing, covering the entire gamut of possible outcomes (association and dissociation having been shown to be both effective and ineffective). This article examines the effects of manipulations of attentional focus on exertional and affective responses, as well as on exercise economy and tolerance. The possible roles of the characteristics of the exercise stimulus (intensity, duration) and the exercise participants, methodological issues, and limitations of experimental designs are discussed. In particular, the critical role of exercise intensity is emphasized. Dissociative strategies may be more effective in reducing perceptions of exertion and enhancing affective responses at low to moderate exercise intensities, but their effectiveness may be diminished at higher and near-maximal levels, at which physiological cues dominate. Conversely, associative strategies could enable the exerciser to regulate intensity to avoid injury or overexertion. Thus, depending on intensity, both strategies have a place in the 'toolbox' of the public health or exercise practitioner as methods of enhancing the exercise experience and promoting long-term compliance.