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The aim of this study is to examine the relationships between physical exercise, general self-efficacy and life satisfaction. Research participants are 2079 adolescents from the city of Malaga (Spain), aged between 14 and 17 years (M=15.62; ST= .95). It is a cross-sectional study, in which surveys are used to collect data. The instruments include a questionnaire about sociodemographic variables and physical exercise, the General Self-Efficacy Scale (GSE) and the Satisfaction with Life Scale (SWLS). Results show that people who are physically active have higher levels of general self-efficacy and life satisfaction and that there is a positive relationship between these constructs. In addition, there are significant differences in the perception of self-efficacy according to the frequency of physical exercise per week and the social context in which the exercise takes place.