The interplay between the prefrontal cortex and amygdala is proposed to explain the regulation of affective responses (pleasure/displeasure) during exercise as outlined in the dual‐mode model. However, due to methodological limitations the dual‐mode model has not been fully tested. In this study, prefrontal oxygenation (using near‐infrared spectroscopy) and amygdala activity (reflected by eyeblink amplitude using acoustic startle methodology) were recorded during exercise standardized to metabolic processes: 80% of ventilatory threshold (below VT), at the VT, and at the respiratory compensation point (RCP). Self‐reported tolerance of the intensity of exercise was assessed prior to, and affective responses recorded during exercise. The results revealed that, as the intensity of exercise became more challenging (from below VT to RCP), prefrontal oxygenation was larger and eyeblink amplitude and affective responses were reduced. Below VT and at VT, larger prefrontal oxygenation was associated with larger eyeblink amplitude. At the RCP, prefrontal oxygenation was greater in the left than right hemisphere, and eyeblink amplitude explained significant variance in affective responses (with prefrontal oxygenation) and self‐reported tolerance. These findings highlight the role of the prefrontal cortex and potentially the amygdala in the regulation of affective (particularly negative) responses during exercise at physiologically challenging intensities (above VT). In addition, a psychophysiological basis of self‐reported tolerance is indicated. This study provides some support of the dual‐mode model and insight into the neural basis of affective responses during exercise.