--- - |2 The research on well‐being and physical exercise point to the possibility of a placebo effect. This study analyzes the effect of expectancy manipulation on psychological (well‐being and self‐esteem) and physical (agility and cardiorespiratory fitness) outcomes after a seven‐week program of aerobic training. 114 undergraduate students (age M = 19.81, SD = 1.75; 86.1% women) were randomized into G1 – No Exercise (n = 13), G2 – Exercise only (n = 15), G3 – Exercise + Manipulation of expectations: No psychological effect (n = 17) and G4 – Exercise + Manipulation of expectations: Psychological effect (n = 21). Outcome measures were the Rosenberg Self‐Esteem Scale, the Well‐Being subscale of the Subjective Exercise Experiences Scale, the Agility T‐test and the 20‐meter Shuttle Run Test. Paired t‐tests showed significant improvements from baseline in self‐esteem, agility, and cardiovascular fitness for the exercise groups. G4 also showed a significant improvement in well‐being. ANCOVA with adjustments for the baseline measures was used to test between‐group differences at the end of the program. The only significant differences at posttest were between G1 and the exercise groups. The data do not support a differential effect of elevated expectations of psychological benefits on the participants’ self‐esteem or psychological well‐being after an aerobic training program. Future research should analyze whether reinforcing expectations more frequently throughout the program might show a more robust influence. - Scandinavian Journal of Psychology, EarlyView.