Prior research suggests that exercise has positive benefits for individuals and the organizations they work for. Using the literature related to social cognitive theory and exercise, the present study hypothesizes and tests the effects of exercise on two directions of work-family conflict: work interference with family (WIF) and family interference with work (FIW). Using a sample of 476 working adults, we found that exercise was both positively related to self-efficacy for managing work-family conflict and negatively related to reported psychological strain, which in turn were related to reductions in work-family conflict. Model fit for the data support our contention that exercise indirectly influences work-family conflict via its direct impact on increased self-efficacy and reduced psychological strain. © 2014 Wiley Periodicals, Inc.