This study investigated the effects of self-selected versus prescribed music on psychophysiological responses (skin conductance and body temperature) and ratings of perceived exertion (RPE) during treadmill running in introverted and extraverted individuals. Employing a quasi-experimental design with within- and between-subjects factors, 24 physically active young male students (12 introverts, 12 extraverts), identified via the Eysenck Personality Questionnaire–Short Form, performed three randomized 20 min running trials at 70–80% of maximal aerobic power: no music, prescribed music, and self selected music. Skin conductance and body temperature were continuously recorded using a ProComp 2 device, while RPE was assessed with Borg’s 6–20 scale. Mixed-design repeated-measures ANOVA revealed a significant main effect of condition (p = 0.005) and group (p = 0.001) on skin conductance, along with a significant condition × group interaction (p = 0.042). For RPE, only the main effect of condition reached significance (p = 0.001); group (p = 0.380) and interaction (p = 0.241) effects were non-significant. No significant effects emerged for body temperature across condition (p = 0.50), group (p = 0.39), or interaction (p = 0.293). These results demonstrate that music’s influence on autonomic arousal (skin conductance) is personality-dependent, whereas perceived exertion and thermoregulation remain largely unaffected by introversion–extraversion. The findings challenge uniform music prescriptions, highlighting the necessity of personalized auditory stimuli in exercise settings. Practitioners should consider individual trait differences when integrating music into training regimens to maximize psychophysiological benefits.