Psychological constructs such as in-task affect, post-exercise enjoyment, and attitudes towards exercise have been implicated in the prediction of future physical activity behaviour for individuals not meeting physical activity guidelines. However, the relationship between such constructs during progressive exercise training protocols remains to be determined. The purpose of this study was to examine the affective and social cognitive responses to high-intensity interval training (HIIT) and moderate-intensity continuous training (MICT) over a progressive two-week supervised intervention. Ninety-nine adults not meeting physical activity guidelines were randomized into one of two exercise conditions and had affective and social cognitive measures assessed before, during, and after intervention implementation. Increases over time in post-exercise enjoyment, attitudes towards exercise, and intentions to exercise in the future were noted for both HIIT and MICT conditions (ps < .05). Patterns of change in affective responses over the course of the intervention were consistent for both conditions, with participants in MICT reporting more positive in-task affect and affective attitudes throughout the intervention (ps < .001). Positive correlational relationships between affective and social cognitive responses were revealed throughout the intervention (ps < .05), highlighting the intertwined relationship between affective responses and social cognitions. Overall, both HIIT and MICT may serve as appropriate modalities of exercise for this population. Further research is warranted to determine whether findings are a consequence of familiarization with exercise, whether such findings are translatable to real-world environments and non-progressive exercise protocols, and whether these affective responses and social cognitions are predictive of future exercise behaviour.