This study examines the formation of group cohesion and social support in exercise classes among former sedentary adults, participating in a Danish community-based intervention. Furthermore, the aim is to analyze the impact of this process on exercise activity among the participants. A multimethod approach was used, analyzing both survey data and 18 personal interviews collected among 87 participants who completed the intervention project. Analysis was performed according to the grounded theory method. The formation of group cohesion was conditioned by the social composition of the group, the teaching ability by the instructors, and the activity by itself. The cohesive group was characterized by an attitude of mutual support toward exercise activities. This mutual support facilitated development of self-efficacy beliefs among the participants improving their mastery expectation regarding exercise. Manipulating group dynamics may be a promising intervention tool in the promotion of leisure-time physical activity.