Objective: Our goal was to compare affective responses and frontal electroencephalographic alpha asymmetry induced by prescribed exercise (PE) and self-selected exercise (SS). Method: Twenty active participants underwent a submaximal exercise test to estimate maximal oxygen consumption (VO_2max). Participants enrolled a cross-over randomized study where each participant completed three conditions: PE (50%PVO_2max), SS and Control. The electroencephalography was performed before and after exercise. The feeling scale, felt arousal scale and heart rate were recorded before, during and after each condition. The ratings of perceived exertion were recorded during and after each condition. Results: The heart rate and ratings of perceived exertion showed higher values in the PE and SS conditions compared to controls, with no differences between the PE and SS conditions. For the feeling scale, the SS presented higher values compared to the PE and Control conditions. The felt arousal scale presented higher values in the PE and SS conditions compared to control. There was no interaction between condition and moment, or main effect for condition and moment for frontal alpha asymmetry (InF4-InF3). Conclusion: The SS provided better affective responses compared to PE, thus can consider self-selected intensity as an appropriate option. In general, no frontal alpha asymmetry was seen due to an exercise intervention.