Three studies explored exercise preferences in real-world and virtual environments, and their relationship with social physique anxiety (SPA), social comparison, and self-presentational efficacy (SPE). In Study 1 (N = 230), real-world exercise preferences were explored. Study 2 (N = 228) measured preferences for real-world and virtual reality (VR) exercise, and Study 3 (N = 249) investigated preferences for avatar embodiment and virtual companions within VR. Results revealed that participants who preferred home-based exercise had lower exercise behaviour, more negative fitness-related social comparisons, or lower SPE expectancy and outcome value (Study 1). Individuals with lower exercise behaviour, more negative fitness-related social comparisons, lower SPE expectancy, or higher SPA were also more likely to choose VR than real-world exercise (Study 2). In a VR exercise setting, participants with higher SPA and more negative social comparisons also preferred to embody a non-human and fantasy avatar more than a realistic avatar. A heightened threat of negative social comparison when imagining exercise with a physically superior virtual companion resulted in the strongest preference to embody a fantasy avatar (Study 3). The results suggest that individuals who place high importance on self-presentation and have low belief in their capacity to project an image of competence to others, are more likely to prefer exercise contexts that minimise physique- and fitness-related evaluation. Moreover, VR may afford a less psychosocially threatening context for individuals who feel self-conscious or comparatively inferior to others during exercise.