This study used a path analysis approach to examine the relationship between feelings of energy, exercise-related self-efficacy beliefs, and exercise participation. A cross-sectional mailing survey design was used to measure feelings of physical and mental energy, task and scheduling self-efficacy beliefs, and voluntary moderate and vigorous exercise participation in 368 healthy, full-time undergraduate students (mean age = 21.43 ± 2.32 years). The path analysis revealed that the hypothesized path model had a strong fit to the study data. The path model showed that feelings of physical energy had significant direct effects on task and scheduling self-efficacy beliefs as well as exercise behaviors. In addition, scheduling self-efficacy had direct effects on moderate and vigorous exercise participation. However, there was no significant direct relationship between task self-efficacy and exercise participation. The path model also revealed that scheduling self-efficacy partially mediated the relationship between feelings of physical energy and exercise participation.