This study examined whether exercise self-efficacy and locus of control (LOC) mediate the relationships between depression and exercise, and anxiety and exercise. Also, this study examined whether self-efficacy and LOC are predictors of the duration of exercise, and if they better predict duration of exercise in the past two weeks when combined, than each variable independently. Thirty males and 91 females ages 21 to 81 years old (M= 44.85; SD = 16.36) who lived in any one of the 48 contiguous states in the United States participated in the current study, recruited from a mass email flyer sent to colleagues, friends and family members asking them to forward the email to their family and friends to participate in the study. Also, participants were solicited from yahoo groups. After the participants went to the study web site on surveymonkey.com and completed the informed consent form, they filled out the demographic questionnaire, which asked them to report the duration of exercise they did in the past two weeks, the Adult Nowicki-Strickland Internal External Control Scale, the Center for Epidemiologic Studies Depression Scale, the Lehrer Woolfolk Anxiety Symptoms Questionnaire, and the Exercise Self-Efficacy Scale. Results showed that exercise had a significant inverse relationship to depression and a positive relationship to self-efficacy, and self-efficacy mediated the relationship between depression and exercise. Self-efficacy was the best predictor of exercise and external LOC was not significantly related to exercise and it did not better help predict duration of exercise when added to self-efficacy in the regression equation. However, external LOC had a positive significant relationship with depression. Exercise was not significantly related to anxiety or external LOC. Therefore, neither external LOC nor exercise self-efficacy can mediate that relationship. However, results showed that there was a significant inverse relationship between anxiety and exercise self-efficacy. This study suggests that techniques used to increase peoples' exercise self-efficacy might be used to decrease peoples' level of depression and anxiety, and tools used to decrease peoples' level of external LOC and increase their level of internal LOC might help decrease their levels of anxiety and depression.