The aim of this research is to examine the relationship between exercise and general self-efficacy, depression, and psychological well-being of college students. Five hundred and twenty-two university students (n[subscript male] = 273; X[subscript age] = 23.33 ± 4.36 and n[subscript female] = 279; X[subscript age] = 25.91 ± 7.11) have participated in this research. The General Self-Efficacy Scale (GSES), Beck Depression Inventory (BDI), Physical Activity Stages of Change Questionnaire (PASCQ), and "Psychological Well-Being Scale (PWBS) have been applied to the sample group in this study. While differences in participants' self-efficacy, depression, and psychological well-being levels with regard to the stage of changes in exercise are calculated with one way analysis of variance (ANOVA), the relationship between these ideas discussed in the research have been determined with Pearson Moments Product Correlation Analysis. According to the stages of exercise behavior, significant disparities have been found between participants' level of self-efficacy, depression, and psychological well-being, and the relationship between those notions has been observed. According to the results, the participants' general self-efficacy and psychological well-being levels were high and the depression levels were low when on advanced levels of exercise. In light of the findings obtained from this research, it has been concluded that continuity in exercise has a positive effect on psychological effects like general self-efficacy, depression and psychological well-being.