The purpose of this study was to: (a) identify a range of exercise intensity in which an attentional focus strategy is and is no longer effective as a cognitive manipulation and (b) investigate the effect of an attentional dissociative and attentional associative cognitive strategy on affective responses during graded cycle ergometer exercise. Thirty-four participants (17 men, 17 women), who met the criteria for involvement, underwent an initial familiarization trial and three subsequent experimental trials on separate days, approximately one week apart. During the familiarization trial, participants were given an explanation of the procedures of the study, completed required paperwork, and were familiarized with the laboratory environment, equipment, and psychometric measures. The experimental trials were counterbalanced, involved the same graded cycling exercise to volitional exhaustion protocol, and only differed in the attentional manipulation employed. An attentional association condition consisted of auditory amplification of participants' breathing, through headphones, and graphically displaying heart rate data on a 42-inch monitor placed at eye level approximately 2 m in front of the cycle ergometer. An attentional dissociation condition consisted of participants watching and listening to a self-selected music digital video disc (DVD) through headphones and on the 42-inch monitor. In the sensory deprivation condition, participants wore both earplugs and sound-attenuating headphones and the 42-inch monitor remained blank. Affective valence, the main dependent variable, was measured using the Feeling Scale (FS; Hardy & Rejeski, 1989). The manipulation checks of perceived exertion and attentional focus were measured using the Rating of Perceived Exertion scale (RPE; Borg, 1998) and an attentional focus scale (AFS; Baden et al., 2004), respectively. Affective, exertional, and attentional focus responses were sampled at appropriate time points pre-, during, and post-exercise. The results of the study indicated similar physiological strain across experimental conditions as evident by non-significant differences in heart rate, oxygen consumption, and power output values. Moreover, the attentional focus manipulation was successful as participants in the Music-Television (MTV) and Biofeedback (BF) conditions reported significantly higher attentional dissociative and lower attentional associative scores, respectively, compared to a sensory deprivation (SD) condition. The manipulation is also partially confirmed by lower ratings of perceived exertion (RPE) in the MTV condition compared to both the BF and SD conditions. Participants reported more positive affective responses throughout the MTV condition compared to the BF and SD conditions, and affective responses stabilized around the ventilatory threshold in the MTV condition whereas there was a continued decline in the SD and BF conditions. Following exercise, participants rated the MTV condition as producing greater post-exercise perceived enjoyment compared to the BF and SD conditions. The results provide support for the Dual Mode Model as exercising to volitional exhaustion during attentional dissociation resulted in a plateau of affective responses around the ventilatory threshold while conditions of sensory deprivation and attentional association showed consistent patterns of less positive/more negative affective responses.