This series of three studies considers the multidimensionality of exercise self-efficacy by examining the psychometric characteristics of an instrument designed to assess three behavioral subdomains: task, scheduling, and coping. In Study 1, exploratory factor analysis revealed the expected factor structure in a sample of 395 students. Confirmatory factor analysis (CFA) confirmed these results in a second sample of 282 students. In Study 2, the generalizability of the factor structure was confirmed with CFA in a randomly selected sample of 470 community adults, and discriminant validity was supported by theoretically consistent distinctions among exercisers and nonexercisers. In Study 3, change in self-efficacy in conjunction with adoption of novel exercise was examined in a sample of 58 women over 12 weeks. Observed changes in the three self-efficacy domains appeared to be relatively independent. Together, the three studies support a multidimensional conceptualization of exercise self-efficacy that can be assessed and appears to be sensitive to change in exercise behavior.