There is evidence that an individual with a higher level of self-efficacy will persist longer and be more robust in their efforts than an individual with a lower level of self-efficacy (Feltz et al., 2008). As such, it follows that a high level of self-efficacy would be essential in a strenuous activity such as distance running. Therefore, the purpose of this study was to explore the evolution of efficacy beliefs over the course of a training program by following 26 participants training for a marathon. Participants completed individual interviews at three different time points throughout the training and that were analyzed for content relevant to the formation of efficacy beliefs for the marathon. Overall, the findings indicated that physiological/emotional states were the most frequently mentioned source of information throughout the duration of the experience. Further, the influence of past performance experiences gradually increased throughout the duration of the program.