The positive contribution of physical activity and exercise to physical and mental health is widely acknowledged. However, participation in sport and exercise is not as high as would be expected. In addition to this, people who start exercising often do not adhere to their exercise programme. This study examined the effectiveness of Bandura's self-efficacy theory to predict exercise adherence. A sample of new members at a gymnasium was assessed on a Physical Self-Efficacy Scale, an Adherence Efficacy Scale and an Outcome Expectancy Scale. The dependent variable, exercise adherence, was assessed by monitoring the intended and actual frequency of visits to the gymnasium. Multiple regression analysis was conducted to test the hypotheses. Results indicated that physical self-efficacy was a significant predictor of exercise adherence for the total group as well as for the females seperately. For the males adherence efficacy was a significant predictor. The results partly confirm the self-efficacy theory of Bandura and underline the importance of assessing different dimensions of self-efficacy in adherence research. (S. African J. for Research in Sport, Physical Ed. and Recreation: 2003 25 (1): 71-82)