It has been suggested that the well-known health benefits associated with exercise can be explained by a placebo effect, and that greater effort should be given to convince people that their current behaviors have desirable health consequences. The overall purpose of this study was to test the efficacy of this "mind-set matters" hypothesis through the use of an expectancy-based intervention with adolescents. The study involved a four week randomized controlled trial with 348 Grade 9 adolescents (M (age) = 14.07 yrs, SD = 0.30), from four high schools, taking part in either a placebo-intervention condition (n = 188) or a control condition (n = 160). Participants in the placebo-intervention condition were informed that what they are already doing in school physical education lessons fulfills current recommendations for an active lifestyle. Participants in the control condition were not given this information. Four weeks after the intervention, adolescents in the placebo-intervention condition did not demonstrate significant changes in physiological health-related measures (diet, weight, body mass index, percentage body fat, heart rate, mean arterial pressure). The findings question the external validity of the "mind-set matters" hypothesis with adolescents, and suggest that simply encouraging adolescents to believe that they are healthy may not enable them to respond with improved indicators of physical health.