As with other addictions, exercise addiction can severely impact individuals’ lives and have significant psychophysical consequences. Consequently, the study of the mechanisms involved in this psychopathological condition has great clinical and practical relevance. Therefore, the goal of the present study was to explore the risk factors and protective factors for exercise addiction, with a particular focus on the roles of alexithymia, body image concerns, and self-esteem. A sample of 288 regular exercisers (mean age = 28.35 years, SD = 8.26; 72% females, 18% males) completed the Exercise Addiction Inventory, 20-Item Toronto Alexithymia Scale, Body Image Concern Inventory, and Rosenberg Self-Esteem Scale. Data were analyzed by implementing a moderated mediation model. Results showed a significant and positive association between alexithymia and exercise addiction, totally mediated by body image concerns. Furthermore, self-esteem showed a relevant moderating effect, such that at high levels of self-esteem the effect of alexithymia on body image concerns became insignificant. Such data have important implications, highlighting some core variables on which it might be useful to keep a focus in order to elaborate tailored interventions, from both preventive and treatment perspectives.