People's decisions regarding effort-based tasks such as engaging in physical activity depend on the subjective value of the activity: weighing the costs against the benefits. Exerting cognitive effort while performing one task negatively biases people's decisions to exert effort on subsequent cognitive tasks, suggesting a shift in their subjective valuation of the task due to mental fatigue. The present study investigated the effect of mental fatigue on people's decisions to engage in an acute bout of exercise and whether the effect of mental fatigue on decision-making was mediated by a cost-benefit analysis. Participants (N = 55) completed either a 10-minute, high cognitive demand (Stroop) task or low cognitive demand (documentary viewing) task and then made a choice between engaging in a 20-minute self-paced moderate-to-vigorous intensity exercise task or a 20-minute sedentary task. Prior to choosing, participants rated their mental fatigue and their perceived benefits and costs of the exercise task. The cognitive task had a strong effect on mental fatigue (Cohen's d = 1.40). The mediation analysis showed no direct effect of mental fatigue on choice; however, there was a significant indirect effect indicating the cost-benefit score mediated the effect of mental fatigue on choice (95% C.I = -.02 to -.0004). Higher levels of mental fatigue were associated with greater costs of exercising (r = .35), which in turn were associated with a decreased likelihood of choosing the exercise task (r squared = .13). Findings provide insight into the effects of mental fatigue on people's exercise decision-making.