The purpose of the current study was to examine whether the effects of social support on physical exercise in older adults depend on individual perceptions of self-efficacy. Three hundred nine older German adults (age 65–85) were assessed at 3 points in time (3 months apart). In hierarchical-regression analyses, support received from friends and exercise self-efficacy were specified as predictors of exercise frequency while baseline exercise, sex, age, and physical functioning were controlled for. Besides main effects of self-efficacy and social support, an interaction between social support and self-efficacy emerged. People with low self-efficacy were less likely to be active in spite of having social support. People with low support were less likely to be active even if they were high in self-efficacy. This points to the importance of both social support and self-efficacy and implies that these resources could be targets of interventions to increase older adults’ exercise.