The relationships between efficacy cognitions and causal attributions for exercise progress, and their impact on affective responses, were examined in a sample of previously sedentary middle-aged individuals 10 weeks into an exercise program. Employing theoretical propositions put forth by Bandura (1986) and Weiner (1985), it was hypothesized that exercise efficacy would influence causal attributions and affective responses to exercise participation. Path analysis demonstrated that greater exercise frequency resulted in more internal, somewhat stable, and personally controllable attributions for perceived exercise progress. More efficacious subjects also attributed their progress to more personally controllable causes. All three causal dimensions were related to positive affect, and efficacy had significant direct and indirect effects on affect. The results are discussed with respect to the need to more closely examine the role affect might play in exercise over time, as opposed to single bouts of exercise. Furthermore, the necessity for studying complex interplays of cognitive determinants of exercise behavior is discussed.