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Research has supported a negative correlation between cigarette smoking and exercise; however, the temporal nature of this association is not obvious. We modeled the relationships among smoking, exercise, and self-perceived health over time, within a college population. We collected 5 waves of data from 1,023 undergraduate students over a 14-month period. The results verified that smoking and exercise each made independent contributions in the prediction of health. Smoking was associated with reduced exercise over time, while no evidence was found for the reverse relationship. Our final mediation model demonstrates that smoking is related to poorer self-perceived health, and that this effect is partially mediated by the fact that smokers are less likely to engage in exercise.