An appropriate theoretical framework may be useful for guiding the development of physical activity interventions. This review investigates the effectiveness of the protection motivation theory (PMT), a model based on the cognitive mediation processes of behavioral change, in the prediction and promotion of physical activity participation. A literature search was conducted using the databases MEDLINE, PsycINFO, PubMed, and Web of Science, and a manual search was conducted on relevant reference lists. Studies were included if they tested or applied the PMT, measured physical activity, and sampled from healthy populations. A total of 20 studies were reviewed, grouped into four design categories: prediction, stage discrimination, experimental manipulation, and intervention. The results indicated that the PMT's coping appraisal construct of self-efficacy generally appears to be the most effective in predicting and promoting physical activity participation. In conclusion, the PMT shows some promise, however, there are still substantial gaps in the evidence.