Although elite sport has provided an ideal context for exploring mental toughness (MT), currently, there is scant research examining how this construct might be equally applicable in exercise settings, where high rates of attrition have been reported. The present research, therefore, aimed to address this gap, and to understand and conceptualise exercise mental toughness (EMT) through in-depth phenomenological interviews with a range of exercise leaders and exercise participants. Seven qualified and experienced exercise leaders and seven regular and frequent exercisers from formal exercise environments (i.e. gym and fitness classes) were interviewed. Interviews were digitally recorded, transcribed verbatim and analysed independently by members of the interdisciplinary research team. Key themes were agreed and member checking was used to promote trustworthiness of interpretations. MT was recognisable in exercise settings, with 10 general dimensions found to be relatively consistent with conceptualisations derived from elite sport (e.g. commitment, focus, emotional control, etc.). Importantly, present findings reveal how mentally tough exercisers think and behave in exercise settings. Some negative consequences were also reported such as over-training and training with injuries. The article also discusses how components of EMT may be valuable in terms of exercise maintenance and relapse prevention during exercise behaviour change.