The present study adopted a social cognitive framework to examine the role played by perceptions of personal efficacy in adherence to exercise behavior in sedentary middle-aged adults. Subjects were followed for 5 months in order to study the process of exercise as it moved through the adoption to maintenance stage of the behavior. Participation rates paralleled those reported elsewhere in the literature. Path analytic techniques examined the role over time of efficacy, perceptual, and behavioral indicators of frequency and intensity of exercise. Self-efficacy cognitions were shown to predict adoption of exercise behavior but previous behavior proved to be the strongest predictor of subsequent exercise participation. Results are discussed in terms of examining process versus static design models in exercise and physical activity research. Implications for future research and health promotion are suggested.