A cluster random sample of 1073 students in the Islamic Republic of Iran (mean age 14.37 years) completed a self-report questionnaire consisting of an exercise measure, selected constructs of Pender’s health promotion model and an assessment of stages of behaviour change in exercise. In multivariate discriminant analysis, exercise self-efficacy, perceived barriers to exercise, perceived benefits of exercise and exercise behaviour were significant predictors of the stage of exercise behaviour change for both female and male adolescents. The findings support the importance of self-efficacy for engaging in physical activity for both sexes of Iranian adolescents. The barriers faced by Iranian girls should be considered in interventions to increase physical activity rates.