Much research has been directed toward finding the most prominent psychological factors affecting ratings of perceived exertion during physical exercise. The one most frequently mentioned, although rarely investigated empirically, is locus of control. Findings from non-sport-related research indicate that individuals with an internal locus of control (internals) are better at using the available information than individuals with an external locus of control (externals). That finding has been attributed to the inferior information-processing capacity of the latter group, a deficit that might also affect the processing of exertional cues during physical exercise. In the present study, a group of women categorized as internals were compared with a similar group of externals during both ergometer cycling and treadmill running. The results indicated significantly different ratings between the groups not only for overall perceived exertion but also for local (muscles and joints) and central (cardiopulmonary) exertion. The observed differences were greater during ergometer cycling than during treadmill running. It is possible that the more distinct cues available during cycling, stemming mainly from the working muscles (local factors), presented more information to process, a task that the internals were better at than the externals.