The relationship between cognitive and sensory processes in the brain contributes to the regulation of affective responses (pleasure–displeasure). Exercise can be used to manipulate sensory processes (by increasing physiological demand) in order to examine the role of dispositional traits that may influence an individual’s ability to cognitively regulate these responses. With the use of near infrared spectroscopy, in this study we examined the influence of self-reported tolerance upon prefrontal cortex (PFC) hemodynamics and affective responses. The hemodynamic response was measured in individuals with high or low tolerance during an incremental exercise test. Sensory manipulation was standardized against metabolic processes (ventilatory threshold [VT] and respiratory compensation point [RCP]), and affective responses were recorded. The results showed that the high-tolerance group displayed a larger hemodynamic response within the right PFC above VT (which increased above RCP). The low-tolerance group showed a larger hemodynamic response within the left PFC above VT. The high-tolerance group reported a more positive/less negative affective response above VT. These findings provide direct neurophysiological evidence of differential hemodynamic responses within the PFC that are associated with tolerance in the presence of increased physiological demands. This study supports the role of dispositional traits and previous theorizing into the underlying mechanisms (cognitive vs. sensory processes) of affective responses.