Does prior physical self-concept influence subsequent exercise behavior? On the basis of a large sample of physical education classes (2,786 students, 200 classes, 67 teachers) collected early (Time 1) and late (Time 2) in the school year, findings support a reciprocal effects model in which prior physical self-concept and exercise behavior both influence subsequent physical self-concept and exercise behavior. Whereas variables from the theory of planned behavior (TOPB; behavioral intentions, perceived behavioral control, exercise attitudes) also contributed to the prediction of subsequent exercise behavior, the effect of prior physical self-concept was significant for subsequent outcomes after controlling these variables, suggesting that the TOPB should be supplemented with self-concept measures. On the basis of multilevel models, there were systematic differences in these variables for students taught by different teachers that generalized over time and across different classes taught by the same teacher. Support for the reciprocal effects model was robust.