Virtual reality (VR) allows to embody avatars. Coined the Proteus effect, an avatar’s visual appearance can influence users’ behavior and perception. Recent work suggests that athletic avatars decrease perceptual and physiological responses during VR exercise. However, such effects can fail to occur when users do not experience avatar ownership and identification. While customized avatars increase body ownership and identification, it is unclear whether they improve the Proteus effect. We conducted a study with 24 participants to determine the effects of athletic and non-athletic avatars that were either customized or randomly assigned. We developed a customization editor to allow creating customized avatars. We found that customized avatars reduced perceived exertion. We also found that athletic avatars decreased heart rate while holding weights, however, only when being customized. Results indicate that customized avatars can positively influence users during physical exertion. We discuss the utilization of avatar customization in VR exercise systems.