Most Canadians are not sufficiently physically active to achieve health benefits. Retrospective and quantitative studies show that negative affective responses to exercise can have a negative influence on exercise participation and adherence. The dual-mode model states that affective responses are a result of two modes; (1) cognitive processes (e.g., self-efficacy) and (2) interoceptive cues elicited as a result of physiological responses; however, little is known about what (e.g., symptoms and emotions) exactly affects one's exercise experience. Therefore, the purpose of this study was to explore insufficiently active adults' experiences during an exercise bout with the use of a think-aloud protocol. Nine women (Mage = 21.11 years, SD = 1.83) participated in two sessions, one week apart. Session 1 involved a graded maximal exercise treadmill test to determine the work rate associated with the ventilatory threshold and session 2 involved exercising on a treadmill at three intensities for 6 minutes each while saying all of their thoughts aloud. The think aloud data were recorded and transcribed verbatim and analyzed using thematic content analysis. In line with the dual-mode model, our qualitative data showed that participants experienced more physiological symptoms (e.g., muscular, ventilation), above the ventilatory threshold, and expressed more exercise enjoyment and greater exercise self-efficacy below the ventilatory threshold. These findings provide rich insight into what insufficiently active individuals experience during exercise and how they perceive them. These findings could be used to educate new exercisers about what kind of symptoms one can experience during different exercise intensities, which could potentially help increase physical activity adherence.