We tested the plausibility of a persuasion model to understand the effects of messages framed in terms of gain, non-loss, loss, and non-gain, and related to the physical, mental and social consequences of doing physical activity at home during the lockdown restrictions. 272 Italian participants responded to a questionnaire on their attitude and intention at Time 1, frequency of past behavior, and self-efficacy related to exercising at home. Then, participants were randomly assigned to four different message conditions: (a) gain messages focused on the positive outcomes associated with doing physical activity at home; (b) non-loss messages focused on the avoided negative outcomes associated with doing physical activity at home; (d) loss messages focused on the negative outcomes associated with not doing physical activity at home; (c) non-gain messages focused on the missed positive outcomes associated with not doing physical activity at home. After reading the messages, participants answered a series of questions regarding their perception of threat and fear, their evaluation of the messages, and their attitude and intention toward exercising at home at Time 2. Using multigroup structural equation modeling, we compared message conditions, and tested whether the effects of the messages on attitude and intention at Time 2 were mediated by message-induced threat, message-induced fear, and message evaluation. Results showed that the perception of the messages as not threatening was the key point to activate a positive evaluation of the recommendation. The highest persuasive effect was observed in the case of the non-loss frame, which did not threaten the receivers, triggered a moderated fear and, in turn, activated a positive evaluation of the recommendation, as well as higher attitude and intention to do home-based physical activity at Time 2. Overall, these results advance our comprehension of the effects of message framing on receivers' attitudes and intentions toward home-based physical activity.