Some studies have found positive associations between implementation intentions and exercise, independent of motivational factors. However, most research has not been conducted in actual exercise contexts. In a naturalistic setting, implementation intentions may be associated with self-efficacy (SE) beliefs. This study examined the effect of implementation intentions on adherence and SE over an 11-week exercise program. Women (N = 72) were randomly assigned to an experimental (i.e., implementation intention) or a control group, with 52 participants completing the study. Results showed that while adherence decreased over time in both groups, the experimental group had better adherence than did the control group. Scheduling SE was also higher in the experimental group. Implementation intentions may help to maintain adherence and scheduling SE.