This study investigates the Proteus effect from the first-person perspective and during avatar embodiment in actual exercise. In addition to the immediate measurements of the Proteus effect, prolonged effects such as next-day perception and exercise-related outcomes are also explored. We theorized the Proteus effect as altered perceived self-concept and explored the association between virtual reality (VR) avatar manipulation and self-concept in the exercise context. While existing studies have mainly investigated the Proteus effect in a non-VR environment or after VR embodiment, we aim to contribute to the literature by addressing this concern to explore how the Proteus effect works in actual VR exercise. Through a 2 (avatar body shape: with a six pack vs. normal) × 2 (sex: male vs. female) between-subject experiment, the results partially support the Proteus effect. Regarding actual physical activity, embodying an avatar with a six pack during exercise creates fewer body movements. No significant effect was found for perceived exertion. We also explored the role of sex as a potential moderator in the association of the Proteus effect on exercise outcomes. The Proteus effect was supported by immediate and next-day self-efficacy for core-muscle exercise only among female participants. The between-subject design allowed us to probe how avatar manipulation of muscular body shape with a six pack as opposed to normal body shape influences participants’ self-concept and exercise outcomes, as limited VR studies have employed within-subject comparisons. This also contributes to the literature by providing an upward comparison (e.g., muscular with a six pack vs. normal) as opposed to the previous downward comparison regarding body fitness (e.g., normal vs. obese). The overall results supported the Proteus effect in the context of core-muscle exercise when comparing normal and ideal body shape avatars. However, the Proteus effect as an altered self-concept and its effects on self-efficacy for exercise were supported among females but not males. Whereas the female participants who embodied avatars with a six pack associated themselves more with the muscular concept than other people, the male participants who embodied avatars with a six pack perceived themselves as more normal than others. Theoretical and practical implications are discussed.