This article presents three studies representing the development stages of a theoretically driven measure employed to assess the frequency of use of the self-presentational strategy of self-handicapping in exercise contexts (Self-Handicapping Exercise Questionnaire: SHEQ). First a pilot study was conducted to examine the nature of the phenomenology of self-handicaps reported in exercise settings. Study 2 involved item creation, item trimming, and model confirmation. Study 3 concerned factorial validation, cross-validating the self-handicapping measure created in the second study. The outcome was a 20-item measure assessing self-handicapping claims in exercise. The results of both model-testing studies indicated three unique and stable factors addressing self-handicapping claims about making exercise a routine, training in an exercise facility, and healthy physical functioning. Self-handicapping responses were not moderated by gender, age, or exercise setting. Further use and development of the SHEQ is discussed.