Avatars in virtual reality (VR) enable embodied experiences and induce the Proteus effect—a shift in behavior and attitude to mimic one’s digital representation. Previous work found that avatars associated with physical strength can decrease users’ perceived exertion when performing physical tasks. However, it is unknown if an avatar’s appearance can also influence the user’s physiological response to exercises. Therefore, we conducted an experiment with 24 participants to investigate the effect of avatars’ athleticism on heart rate and perceived exertion while cycling in VR following a standardized protocol. We found that the avatars’ athleticism has a significant and systematic effect on users’ heart rate and perceived exertion. We discuss potential moderators such as body ownership and users’ level of fitness. Our work contributes to the emerging area of VR exercise systems.