The purpose of the study was to examine the relationship between perceptions of self-efficacy, proxy efficacy, and exercise class attendance of participants involved in a 10-week structured group fitness program. At week 3, 127 females completed measures of self-efficacy and proxy efficacy and their class attendance was monitored for the subsequent four weeks. Self-efficacy was assessed through measures of exercise, scheduling, and barrier self-efficacy. Proxy efficacy was assessed through a measure of fitness instructor efficacy defined as participants' confidence in their fitness instructors' communication, teaching, and motivating capabilities. Results revealed positive correlations between self-efficacy variables and proxy efficacy. Hierarchical multiple regression analyses indicated that among those who were classified as exercise initiates (n = 33), self-efficacy and proxy efficacy accounted for 34 percent of the variance in exercise class attendance with the latter variable explaining a unique 12 percent. Consistent with theorizing, these preliminary findings indicate that for instructor-led, group physical activities such as aerobics classes, proxy efficacy perceptions are related to self-efficacy and may also be an important predictor of exercise behavior.