For a minority of individuals, exercise may become excessive and lead to an addictive behaviour. To better understand the processes by which exercise could become an addiction, the present study examined the risk and protective factors of exercise addiction among regular exercisers, by investigating the role of drive for thinness, bulimia, body dissatisfaction, body image concerns, and self-esteem. A sample of 319 Italian regular exercisers (M = 30.78 years, SD = 11.98) completed the Italian versions of the Exercise Addiction Inventory, Eating Disorder Inventory-3 Referral Form, Body Image Concern Inventory, and Rosenberg Self-Esteem Scale. Data were analyzed by implementing a series of moderated mediations. Drive for thinness, bulimia, and body dissatisfaction were positively associated with exercise addiction. An indirect path was found in each of these relationships, which included the mediation of body image concerns, as well as a significant moderation of self-esteem in the associations between drive for thinness, bulimia, body dissatisfaction, and the mediator. High self-esteem appeared to be a protective factor. The higher the level of self-esteem, the less indirect the effects of thinness drive, bulimia, body dissatisfaction, and body image concerns were on exercise addiction. Such findings contribute to a better understanding concerning the risk and protective factors of excessive exercise, and may have important practical implications in structuring interventions to reduce risk of developing exercise addiction, as well as orienting future research.