Most cessation studies assume that dropouts are smokers. Instead, the authors analyzed these outcomes separately using multinomial regression to model the relative risk of quitting versus continued smoking and dropping out. Female (N = 281) smokers were randomly assigned to a 12-week smoking cessation program plus either a 3-times-per-week exercise program or a contact control wellness program. Higher body mass index and longer prior quit attempts predicted cessation. Self-efficacy was associated with a lower likelihood of dropout. Greater nicotine dependence and lower education predicted continued smoking or dropout versus quitting among exercisers. Patterns of smoking, dropping out, and quitting between Weeks 5 and 12 were different between exercisers and controls. Dropouts should be considered as a separate category from smokers.