The primary aim of this study was to assess the effectiveness of a short bout (10 min) of moderate-intensity exercise to reduce withdrawal symptomatology, craving and negative affect; while the secondary aim was to assess how the effectiveness of a short bout of moderate exercise can be modulated by the perception of intensity in physically active and low-activity smokers. Fifty low-activity and physically active smokers were recruited (24 male and 26 female) and randomized in three different conditions. Prescribed (objective) moderate intensity (OBJ) and perceived moderate intensity (PER), and passive waiting (PW). After the intervention (T3), smokers reported less desire to smoke in the PER (p < 0.001) and OBJ (p < 0.001) conditions, relative to the PW condition. At T3 smokers in the PER condition reported less negative affect than smokers in the PW condition relative to the baseline (T1) (p < 0.007). Further, smokers in the PER condition reported less negative affect than smokers in the PW condition (p < 0.048). Physically active (PA) smokers perceived less exertion than low-activity (LA) smokers, and the effects were stronger in the PER condition relative to OBJ. Generally, our results suggest that a short bout of moderate exercise helps both LA and PA smokers. These findings provided a novel insight into the psychological mechanisms that affect the efficacy of the exercise in smoking cessation and suggest that exercise should be tailored according to individual perception of intensity.