The purpose was to examine if the acute thoughts that individuals have as a function of deciding whether to exercise influence subsequent motivated behavior. Two questions based on self-efficacy theory were tested. Are immediate, retrospective, or anticipated thoughts predictive of self-efficacy to adhere to regular exercise? Does self-efficacy influence exercise intention and behavior? Participants were 82 healthy adults (M age = 24 years) enrolled in a 10-week exercise program. Social cognitive measures were assessed after 1.5 months of experience, and 3 weeks of exercise were tracked. Multivariate analyses showed that participants who were more positive in their acute retrospective or anticipated thinking exhibited significantly higher self-efficacy and attendance than did negative-thinking counterparts. Multiple regression analyses revealed that acute retrospective and anticipated thoughts were predictors of self-efficacy. In addition, self-efficacy was predictive of future intention and exercise attendance.