Obese and sedentary women ( N = 76) initiated an exercise and nutrition program based on self-efficacy theory. Significant within-group improvements in body fat, waist size, and body mass index were found over 6 months. Changes in Physical Self-Concept (task self-efficacy) and Exercise Self-Efficacy (self-regulatory efficacy) scores, together, accounted for a significant portion of the variance in exercise session attendance, R2 = .24, F = 11.67, p < .001, with both significantly contributing to the overall explained variance. Exercise attendance was significantly related to changes in Body Areas Satisfaction (β = .39) and Total Mood Disturbance (β = -.27) scores. Findings suggested a path from increased self-efficacy, to exercise attendance, to improvements in body satisfaction and overall mood. Suggestions for replication and extensions were given.