Self-efficacy, the degree of confidence an individual has for performing a given behavior, is a central concept in social learning theory. Self-efficacy is a strong correlate of current exercise and a consistent predictor of future exercise behavior. This study was designed to explore the correlates of exercise self-efficacy in order to determine whether early experiences with exercise and sports fosters exercise self-efficacy in adulthood. This study explored historical and contemporaneous correlates of exercise self-efficacy using a path analytic approach and a randomly selected sample of adults. Historical experiences with exercise and sports were classified as more or less organized and as proximal or distal in time. The activities studied included those reported during elementary (ages 6-14), high school (15-18), and the period after high school. The historical activities, scaled using factor analysis, were found to have no significant direct association with self-efficacy and only marginal indirect associations with self-efficacy mediated by contemporaneous social learning variables. Contemporaneous variables drawn from social learning theory were found to have the largest direct and indirect associations with self-efficacy specifically related to vigorous exercise. Directions for experimental analysis and health promotion policy implications are discussed.