Self-focused attention can contribute to increasing depressive moods. It is known that attending to self-referential stimuli that direct attention inward might induce self-focused attention. Distractions help to disengage attention from self-referential stimuli. However, the effects of distractions in attenuating the detrimental influences of self-focused attention on cognitive appraisal, depressive mood, and attentional resources, while attending to self-referential stimuli have not been investigated. This study examined whether walking exercise, which is a behavioral distraction technique, would attenuate the effects of self-focused attention. Undergraduate and graduate students (<i>N</i>=42) participated in walking exercise, while attending to self-referential stimuli. Then, they completed the Cognitive Appraisal Rating Scale (CARS), the depressive mood subscale of the Mood Inventory, and a digit span task, for assessing cognitive appraisal, depressive mood, and attentional resources, respectively. Results indicated that the walking exercise reduced the scores for appraisal for effect, which is a subscale of CARS, and lowered depressive mood scores. However, walking exercise had no effect on attentional resource scores. These results suggest that walking exercise modified the appraisal for effect and reduce depressive mood while attending to self-referential stimuli.