Self-efficacy (SE) has been found to be a robust predictor of success in achieving physical activity (PA) goals. While much of the current research has focused on SE as a trait, SE as a state has received less attention. Using day-to-day measurements obtained over 84 days, we examined the relationship between state SE and PA. Postmenopausal women (n = 71) participated in a 12-week PA intervention administered via cell phone and monitored their daily PA using a pedometer. At the end of each day, they reported their state SE and number of steps. Using a longitudinal model, state SE was found to be a robust predictor of PA even after accounting for trait SE and other covariates. The findings offer insights about the temporal relationship between SE and PA over the course of an intervention, which can be of interest to researchers and intervention designers.