This research examines relationships between different forms of aerobic exercise (swim, walk, jog, dance) and two measures of health: subjective health and psychological well-being. We hypothesize that the relationship between aerobic exercise and subjective health/well-being will be notably stronger for older than younger persons and females than males. This prediction is based on Homans' exchange theory of investments and rewards. Since social norms concerning aerobic exercise are likely to be weaker among older (than younger) persons and among women than men, older persons and women who do exercise are making special investments and should expect greater rewards (good health). The concept of ‘exercise norms’ implies social comparisons with others. Accordingly, age comparative data were analyzed to see if older persons who exercise see themselves as more active than their age peers than do younger persons. Data come from a national probability sample of 3025 adults (National Survey of Personal Health Practices and Consequences). As predicted, exercise was much more strongly related to subjective health and well-being among older than younger respondents. In the main, the gender hypothesis was not supported.