BACKGROUND: Few studies have examined the associations between exercise self-efficacy, goals, and physical activity over time. PURPOSE: This study examines whether self-selected goals mediate the changes in exercise self-efficacy on physical activity over 12 months. METHODS: Data are derived from 313 older men participating in the Veterans LIFE Study. RESULTS: Changes in exercise self-efficacy were significantly associated with changes in physical activity both directly (betas = 0.25 and 0.24, p < 0.05) and indirectly (betas = 0.24 and 0.30, p < 0.05) through changes in health-related and walking goal ratings (betas = 0.19 and 0.20, p < 0.05). Both types of goal setting continued to partially mediate the relationship between exercise self-efficacy and physical activity when covariates were added to the models. CONCLUSION: This study extends the application of social cognitive and goal-setting theories to physical activity by showing that goals partially mediate the relationship between exercise self-efficacy and physical activity over time.