Long-term effects of a self-management intervention on physical activity and depressive symptoms were studied in 198 men and women after cardiac rehabilitation in Germany. Participants were randomly assigned to either an intervention group or a standard-care control group. The intervention group received brief self-regulatory skills training that focused on exercise planning strategies. Four and 12 months later, physical exercise levels were half a standard deviation higher in the intervention group. Depressive symptoms 12 months after discharge were almost half a standard deviation lower in the intervention group than in the control group. Mediation analyses were performed to study the potential mechanism that accounted for the reduction in depression. Perceived attainment of exercise goals, but not physical exercise itself, emerged as a mediator between the intervention and the reduction of depressive symptoms. As such attainment of personal goals appears to be of particular importance for lowering depressive symptoms during health-behavior change. Thus, self-management strategies to help patients attain their goals should be part of rehabilitation programs.