This study provided a test of social cognitive theory’s less studied constructs: social persuasion, emotional experiences, and mastery experiences, on self-efficacy and well-being among individuals who post exercise activity on social media. A national sample of participants completed an online survey and uploaded social media posts about exercise activity for content analysis. Participants completed measures of exercise self-efficacy and physical and mental well-being. Results revealed that posting about mastery experiences on social media is positively related to self-efficacy, self-efficacy is positively related to physical and mental well-being, and self-efficacy mediates the relationship between posting about mastery experiences and mental and physical well-being. The results emphasize the value of posting about mastery experiences on social media for exercise self-efficacy and well-being.