The “healthy weight” discourse frames weight and shape as highly malleable through diet and exercise, which may contribute to weight control beliefs and weight bias. This study was guided by the sociocognitive model of internalized stigma and tested the association between external weight bias (generalized weight controllability beliefs) and obligatory exercise via internalized weight bias (weight controllability self-beliefs). Sex and body mass index (BMI) were examined as moderators of this model. A replication of a similar serial indirect effect model proposed and tested by Romano et al. (2021) also was conducted. A total of 974 college students (64% female; 49% non-Hispanic White; Mage = 20.7; MBMI = 24.5) completed measures of generalized weight controllability beliefs, weight controllability self-beliefs, and adaptive and obligatory exercise. Hypotheses were partially supported. Controlling for sex and exercise frequency, greater generalized weight controllability beliefs were associated with increased weight controllability self-beliefs, which were associated with greater engagement in obligatory exercise (indirect effect estimate ab = −.17, 95% Confidence Interval (CI) [−.22, −.12]). Neither sex nor BMI emerged as moderators of this indirect effect. Replication analyses testing the serial indirect effect of generalized weight controllability beliefs on obligatory exercise via (a) internalized weight controllability self-beliefs and (b) weight concerns were significant (ab = −.03, 95% CI [−.04, −.02]). Findings suggest the importance of both internally and externally focused weight bias on obligatory exercise behaviors and support the utility of the sociocognitive model of internalized stigma to guide future weight bias research. Longitudinal research examining the directionality of these relationships is warranted.