People have much to gain from regular exercise, such as improved sleep, increased cognitive function, and reduced risk for cardiovascular disease, and these benefits may be particularly important for people experiencing deficits in these areas due to depressive symptoms (Kubesch et al., 2003; Lett et al., 2004; Rethorst et al., 2013). Moreover, regular exercise can be an effective treatment for depression (Babyak et al., 2000; Dunn et al., 2005; Mather et al., 2002; Mota-Pereira et al., 2011; Rethorst, Wipfli, & Landers, 2009). Despite the myriad benefits of regular exercise, adults with depressive symptoms have lower exercise levels than other adults (Patten, Williams, Lavorato, & Eliasziw, 2009; Roshaneai-Moghaddam, Katon, & Russo, 2009) and those with depressive symptoms who initiate a regular exercise regimen are more likely than others to discontinue it (DiMatteo, Lepper, & Croghan, 2000; Teixeira et al., 2004). Therefore, it is important to understand the reasons why people with depressive symptoms have difficulty initiating and maintaining regular exercise. Models of health behavior change, such as the Health Action Process Approach, Theory of Planned Behavior, and Social Cognitive Theory, emphasize the role of self-efficacy in successful behavior change (Ajzen, 1991; Bandura, 1997; Schwarzer, 1992). Self-efficacy is a person’s belief in his or her own ability to execute a specific behavior (Bandura, 1997), and it is central to behavior change because it guides what behaviors people choose to engage in and how people respond to obstacles and challenges in changing their behaviors (Bandura, 1997). Self-efficacy is known to be a predictor of successful initiation and maintenance of regular exercise (Rodgers, Hall, Blanchard, McAuley, & Munroe, 2002; Williams et al., 2008). Low self-efficacy may be one reason why people with depressive symptoms have difficulties initiating and maintaining regular exercise. People with depressive symptoms report lower self-efficacy than people without depressive symptoms across various behaviors (Bandura, 1998; Robinson-Smith, Johnston & Allen, 2000; Sacco et al., 2005). However, to date, it is unclear how depressive symptoms affect people’s self-efficacy while they attempt to initiate regular exercise. Self-efficacy beliefs are based on perceptions of ability to execute the relevant behavior, as well as perceptions of specific task demands and situational circumstances. Self-efficacy is theorized to stem from four sources: personal experience, vicarious experience, social persuasion (e.g., verbal encouragement), and physiological factors (e.g., arousal such as increased heart rate can lead to perceived inefficacy). Among these different sources, personal experience in executing the relevant behavior is the strongest source of self-efficacy perceptions (Bandura, 1997). Consistent with the proposition that personal experience is the strongest source of self-efficacy, exercise self-efficacy has been shown to significantly increase following participation in exercise. This has been observed after individual bouts of exercise (McAuley, 1995; McAuley et al., 2011) and long-term interventions for regular exercise (Marcus, Selby, Niaura, & Rossi, 1992; McAuley, 1995). This pattern of self-efficacy increases following the execution of exercise is consistent across the literature among healthy adults (Keller, Fleury, Gregor-Holt, & Thompson, 1999). In contrast, self-efficacy has been shown to decrease when individuals do not adhere to regular exercise, especially during the initiation of regular exercise as a new behavior (Parschau, Richert, Koring, Lippke, & Schwarzer, 2012). These findings all demonstrate that perceptions of self-efficacy are sensitive to whether people are successfully engaging in exercise or not. However, Bandura (1997) emphasized that it is not simply objective task execution that influences self-efficacy, but also the subjective perceptions and interpretations associated with the behavior. Subjective perceptions can be influenced by personal factors, such as differences in affective and cognitive processing. Depressive symptoms may be a personal factor that moderates the path between personal experience with exercise and self-efficacy. Depression is characterized by negative interpretations of experiences that are influenced by rumination, negative cognitions, and negative recall bias (Beck, 1991). The result of these negative interpretations is a tendency to minimize successes and exaggerate failures (Bandura, 1997). There is evidence to suggest that depressive symptoms influence self-efficacy to exercise regularly, but the evidence does not specifically address how this occurs. For example, older adults with depressive symptoms who enrolled in a 10-week progressive resistance-training program did not report increases in self-efficacy despite regular participation in exercise and objective gains in physical capability (Singh et al., 1997). This finding suggests the possibility that people with depressive symptoms have difficulties deriving self-efficacy from successfully performing exercise. This would be consistent with evidence that depressive symptoms are associated with a tendency to minimize successes (Bandura, 1997; Beck, 1991). Alternatively, Conroy and colleagues (2007) analyzed cross-sectional data one year after an exercise intervention in order to understand lapses (i.e., two weeks of failed adherence) during the initiation of a regular exercise regimen. They found that participants with high depressive symptoms were more likely than other participants to never return to regular exercise after a lapse to inactivity. This suggests that not exercising for two weeks was more detrimental to regular exercise behavior for participants with high depressive symptoms than those with low symptoms. One possible explanation is that participants with depressive symptoms may have experienced greater decreases in self-efficacy when they did not exercise regularly. This would be consistent with evidence that depressive symptoms can also be associated with a tendency to exaggerate failures (Bandura, 1997; Beck, 1991). However, this possibility was not directly examined. If depressive symptoms moderate the relation between exercise and self-efficacy, the moderation effect could be manifest in two different ways. First, depressive symptoms may dampen an increase in self-efficacy when people exercise (e.g., self-efficacy is lower for people with high depressive symptoms than those with low symptoms on days they exercise). Second, depressive symptoms may amplify a decrease in self-efficacy when people do not exercise (e.g., self-efficacy is lower for people with high depressive symptoms than those with low symptoms on days they do not exercise). Current evidence is unclear as to whether either or both effects occur for people with depressive symptoms (Singh et al., 1997; Conroy et al., 2007). Elucidating how these effects unfold on a daily basis would help specify why people with depressive symptoms have difficulties initiating regular exercise. Self-efficacy and exercise both have unique features that would benefit from daily examination over time. First, self-efficacy is not a static construct; it varies according to a person’s experiences (Shiffman et al., 2000). Second, the first days and weeks of initiating regular exercise are a sensitive period in both the formation of self-efficacy (Bandura, 1997) and establishing regular exercise (Dishman, Ickes, & Morgan, 1980), thus it is likely that exercise self-efficacy will be particularly sensitive to daily influences during this critical phase. Third, regular exercise is a health behavior that does not necessitate daily adherence, unlike other health behaviors such as smoking cessation or medication adherence. Indeed, public health guidelines for physical activity recommend activity on most but not all days of the week (USDHHS, 2008). Consequently, for people initiating regular exercise, there will routinely be days on which they exercise and days on which they do not. Distinguishing between experiences that occur on days of exercise and days of no exercise is relevant to understanding the daily psychological processes that occur during the initiation phase of regular exercise.