Objective The present study sought to examine whether beliefs about physical activity as a means of coping with stress predicted college students’ exercise levels following naturally occurring stressors. One-hundred and twenty-seven undergraduate students were recruited from psychology courses at a large, urban university in the southwestern United States. Participants completed baseline measures and daily assessments for two weeks; data were analyzed using hierarchical linear modeling. Beliefs about the coping properties of physical activity significantly moderated the effects of daily stress (b = 0.19, SE = 0.09, p = .02), and combined daily and chronic stress (b = 0.01, SE = 0.01, p < .01), on students’ daily exercise. College students’ beliefs about physical activity are associated with changes in their daily exercise following exposure to naturally-occurring stressors. Such beliefs may be amenable to intervention to promote adaptive coping with stress and enhanced physical activity.