Physical exercise demonstrates a special case of aerosol emission due to its associated elevated breathing rate. This can lead to a faster spread of airborne viruses and respiratory diseases. Therefore, this study investigates cross-infection risk during training. Twelve human subjects exercised on a cycle ergometer under three mask scenarios: no mask, surgical mask, and FFP2 mask. The emitted aerosols were measured in a grey room with a measurement setup equipped with an optical particle sensor. The spread of expired air was qualitatively and quantitatively assessed using schlieren imaging. Moreover, user satisfaction surveys were conducted to evaluate the comfort of wearing face masks during training. The results indicated that both surgical and FFP2 masks significantly reduced particles emission with a reduction efficiency of 87.1% and 91.3% of all particle sizes, respectively. However, compared to surgical masks, FFP2 masks provided a nearly tenfold greater reduction of the particle size range with long residence time in the air (0.3–0.5 μm). Furthermore, the investigated masks reduced exhalation spreading distances to less than 0.15 m and 0.1 m in the case of the surgical mask and FFP2 mask, respectively. User satisfaction solely differed with respect to perceived dyspnea between no mask and FFP2 mask conditions.