Understanding was sought of the ways that female students understand and feel about physical activity and exercise participation, to inform effective and ethical intervention. Sixteen women participated in semi-structured interviews which were analysed thematically, using QSR NUD*IST 4. Physical activity and exercise proved emotive topics and meant different things to different people. Some women associated physical activity and exercise with enjoyment, or achieving their goals. Others saw exercise in particular as a duty, associated with feelings of guilt and inadequacy. Findings supported the value of promoting realistic goals, and careful choice of activities according to individual preferences.