The primary purpose of the present review was to critique studies that examined the influence of psychological state (i.e., affect, perception, and cognition) on running economy (RE). However, only six studies included measures of oxygen consumption at a given workload (i.e., economy) and used running as the mode of exercise. Two of the six studies indicated that increased tension was highly correlated (r = 0.81) with increased oxygen cost and that reductions in tension, using stress management techniques, improved RE. Because of the sparsity of studies in this area, a secondary purpose of this review was to examine the influence of psychological state on the physiological and behavioral response to varying modes of exercise. Affect, induced through hypnosis and imagery, was effective in changing the response to exercise (i.e., heart rate, performance). Altered perception through the use of hypnosis or through personality characteristics did not alter the physiological response to exercise, perhaps because of the passive role of the exerciser in these situations. Lastly, cognition (i.e., mental strategy, coping, and biofeedback) elicited changes in the physiological and behavioral responses to exercise. Despite these physiological alterations, there were not changes in oxygen consumption in the majority of the studies. It is possible that changes in selected physiological responses (i.e., respiratory frequency) may be altered (e.g., biofeedback) without changes in oxygen consumption because of accommodation in other areas of the body (i.e., a-VO2 difference). Changes in economy possibly occur when these accommodation effects are overridden by the physiological adaptations resulting from longer training periods. In conclusion, psychological state can influence the physiological and behavioral response to exercise. Furthermore, this review supports the use of a multidisciplinary approach to examine the interactional effects of physiology, biomechanics, psychology, and neurophysiology to adequately determine mechanisms underlying changes in RE.