The study investigated whether typical psychological, physiological, and neurophysiological changes from a single exercise are affected by one's beliefs and expectations. Seventy-six participants were randomly assigned to four groups and saw different multimedia presentations suggesting that the subsequent exercise (moderate 30 min cycling) would result in more or less health benefits (induced expectations). Additionally, we assessed habitual expectations reflecting previous experience and beliefs regarding exercise benefits. Participants with more positive habitual expectations consistently demonstrated both greater psychological benefits (more enjoyment, mood increase, and anxiety reduction) and greater increase of alpha-2 power, assessed with electroencephalography. Manipulating participants' expectations also resulted in largely greater increases of alpha-2 power, but not in more psychological exercise benefits. On the physiological level, participants decreased their blood pressure after exercising, but this was independent of their expectations. These results indicate that habitual expectations in particular affect exercise-induced psychological and neurophysiological changes in a self-fulfilling manner.