Women's self‐monitoring orientation was investigated as a moderator of self‐presentational efficacy (SPE) and social physique anxiety (SPA) reactions to variations in sex of instructors and co‐exercisers in exercise class settings. High (n = 30) and low (n = 49) self‐monitors reported SPA and SPE after imagining participation in exercise classes in which sex of the co‐exercisers and the instructor varied. For low self‐monitors only, SPA was higher in conditions with mixed‐sex co‐exercisers (p < .05, ηp2 = .10) and men instructors (p = .001, ηp2 = .21). High self‐monitors reported higher SPE than low self‐monitors, and SPE varied by condition. Women's SPA reactions to exercise environments depend on self‐monitoring orientation, which should be considered in research on self‐presentational concerns in exercise.