This study aimed to build machine learning (ML) algorithms for the automated classification of cycling exercise exertion levels using data from wearable devices. The best predictive features were selected using the minimum redundancy maximum relevance algorithm (mRMR). Top selected features were then used to build and assess the accuracy of five ML classifiers to predict the level of exertion. The Naïve Bayes showed the best F1 score of 79%. The proposed approach may be used for real-time monitoring of exercise exertion.