Subjective Exercise Experience and Group Cohesion among Chinese Participating in Square Dance: A Moderated Mediation Model of Years of Participation and Gender

(1) Background: This study aimed to explore the relationship between years of participation, subjective exercise experience, and group cohesion among gender-specific square dance practitioners. (2) Methods: The Subjective Exercise Experience Questionnaire (SEEQ) and Group Environment Questionnaire (GEQ) were used to evaluate Subjective Exercise Experience (SEE) and group cohesion (GC). An analysis was conducted on 130 Chinese (63 males and 67 females) using multiple group analysis within a structural equation model. (3) Results: (a) The positive aspects of Subjective Exercise Experience (SEE) and Positive Well-Being (PWB), had a strongly positive effect on GC in both groups. The negative aspects of SEE, Psychological Fatigue (PF), and Psychological Distress (PD), had negative effects on GC. (b) Only for the male group was there an indirect effect of participation years on the association between SEE and GC in the model (a × b = 0.062, 95% CI [0.001, 0.181]; standard error (SE) = 0.062, p = 0.048). (c) The significant differences between paths coefficients were noticed in the association of years of participation with SEE (t = −2.043) and GC (t = −1.962). (4) Conclusion: Based on these results, gender differences in terms of the partial mediating role of adherence in the relationship of SEE and GC were presented for future research, fitness popularization, and society.