Objectives. The purpose of the present study was to test whether the repeated practice of self-regulation could improve regulatory strength over time. Method. Regulatory performance was assessed at baseline, then at monthly intervals for a period of 4 months using a visual tracking task. Perceived stress, emotional distress, self-efficacy and general regulatory behaviour were assessed by questionnaire. Following a 2-month control phase, participants entered a 2-month self-regulation programme designed to increase regulatory strength: a programme of regular physical exercise. Results. Relative to the control phase, participants who exercised showed significant improvement in self-regulatory capacity as measured by an enhanced performance on the visual tracking task following a thought-suppression task. During the regulatory exercise phase, participants also reported significant decreases in perceived stress, emotional distress, smoking, alcohol and caffeine consumption, and an increase in healthy eating, emotional control, maintenance of household chores, attendance to commitments, monitoring of spending and an improvement in study habits. The control phase showed no systematic changes in performance on the visual tracking task across sessions. Reports of perceived stress, emotional distress and regulatory behaviours were also stable across sessions. Conclusions. The uptake and maintenance of an exercise programme over a 2-month period produced significant improvements in a wide range of regulatory behaviours. Nearly every major personal and social problem has some degree of regulatory failure. The idea that the capacity for self-regulation can be improved is therefore of vast practical importance.