Exercise identity and self-efficacy have previously been examined relative to exercise using hypothetical scenarios rather than a real challenge to participation. We tested an actual ecologically valid challenge to students’ exercise—exams. We also determined whether this relation is attenuated when past behavior is a predictor. Some 233 postsecondary students were recruited, and participants completed measures prior to and in relation to exams. Hierarchical multiple regressions revealed that exercise identity and self-efficacy significantly predicted exercise during exams. However, as Weinstein (2007) noted, this relationship attenuates when past exercise is included. These findings demonstrate that social cognitions predict exercise in the face of an ecologically valid challenge and avoid overestimation characteristic of previous work (Weinstein, 2007).