The purpose of this study was to experimentally investigate the relationship between positive affect elicitation (using a short video clip) prior to exercise and affect during acute aerobic exercise. A counterbalanced, within-subject experimental design was used. We conducted three related experiments. In Experiment 1, 30 adults aged 18–40 years participated in a positive affect-elicitation condition (“affective priming”) and a control condition. Participation involved watching a five-minute video clip, as well as walking on a treadmill at a (self-selected) brisk pace for ten minutes. We compared affective ratings at baseline and intra-exercise for both conditions using a 2 (condition; priming versus no priming) × 2 (time; pre- versus mid-exercise) repeated measures ANOVA. In the follow-up experiments, we re-examined the relationship between affective priming and intra-exercise affect, addressing some limitations noted with Experiment 1. In Experiment 2, we compared the affect-elicitation properties of self-selected and imposed video clips. In Experiment 3, we re-investigated the potential affective benefits of priming, while including a neutral (neither positive nor negative) video during the control condition to attenuate potential demand characteristics, and a positive video-only condition to investigate possible carryover effects. Self-selected and imposed film clips showed similar affect-elicitation properties. Comparing the priming and control conditions, there were notable differences in the mean intra-exercise affective valence ratings (p = 0.07 Experiment 1, p = 0.01 Experiment 3). The mean affective activation ratings were not significantly different (p = 0.07 Experiment 1, p = 0.86 Experiment 3). Priming the affective state prior to exercise may be beneficial for enhancing intra-exercise affect.