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Hi. No you don't. The pedals that come with the bike are Delta pedals so you will need bike shoes (which need to have three holes vs. two holes on the sole) and delta compatible cleats. I personally like wearing mountain bike shoes because they're more comfortable and easier to walk around the house when not on the bike.

Here's a bit more info on pedals on Peloton.

 

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Hi all, I recently replaced my peloton pedals with the Shimano PD-M520 MTB SPD Bike Pedals and bought the Pearl iZumi Women's Road Attack Cycling Shoes and it is so much more comfortable and easy clicking in and out. It is also MUCH quieter! Hope that helps! There are other shoes that you can use with the Shimano PD-M520 MTB SPD Bike Pedals. Also, it doesn't matter which side is up since they have the clip on both sides - so no need to get the pedal in the correct position.
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Are Peloton Shoes True to Size? Of course, yes. Peloton offers sizes from 36-43 EU for women and 40-48 EU for men. In addition, I recommend that you consider a few things when buying Peloton shoes. It is the length and width of the foot. Peloton offers standard sizes for both men and women according to the measurement of a normal foot, so you must consider this when choosing the right size for your foot. Next, you should take into account the shoe's wrap system. It is more convenient to use cycling shoes with velcro straps, and purchasing Peloton shoes with hard soles will ensure that the shoes stay intact and in shape.
 

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How to put on Peloton shoes: I think it's important to put studs on when you assemble Peloton shoes. To do this, you can put your shoes on and make a mark on the bottom of the Peloton shoe. Then, using the markers as a guide, insert the insoles into the bottom of your Peloton shoe. Peloton cleats can have Velcro straps or a closure system. Remember to loosen them first by pressing the padlock's button and waiting for it to open. Adjust the buckle until you have enough holes to put your foot in. For shoes with Velcro flaps, you can remove the laces.
 
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