This study explored the relationship between physical self-esteem, exercise self-efficacy and physical exercise behavior among college students. Through a questionnaire survey of 314 college students from different majors, grade and gender, physical self-esteem was a significant positive predictor of physical exercise behavior, that is, college students tended to actively participate in physical exercise when they rated their physical appearance and exercise ability highly. Furthermore, exercise self-efficacy plays a partial mediator between physical self-esteem and physical exercise behavior. That is to say, when college students have confidence in their exercise ability, physical self-esteem is more likely to translate into actual exercise behavior. The study emphasized the importance of cultivating physical self-esteem and improving exercise self-efficacy to promoting physical exercise behaviors, which is important for enhancing their physical and mental health.