Autonomy enhances affective responses during conventional treadmill exercise. Besides, the role of autonomy in affective responses during serious game-based feedback-controlled treadmill walking (i.e., when the treadmill speed is controlled by capturing the movement of the participant’s lower limbs) still needs clarification. This study investigates the effects of autonomy on affective responses to a serious game based on feedback-controlled treadmill walking. Thirteen participants completed two experiments: 1) serious game-based treadmill walking with feedback-controlled speed (autonomous); 2) serious game-based treadmill walking with system-controlled speed (non-autonomous). Participants believed they could control the treadmill in both experiments. There were no significant differences observed in affective responses when comparing the experiments. However, participants rated Experiment 2 as more challenging. Thus, feedback-controlled treadmill exercise may contribute to rehabilitation interventions focused on maintaining positive affective responses and participant adherence.