This study evaluates perception and knowledge of physical exercise in an urban adult population and relates knowledge level to behavioral, demographic, and socioeconomic factors, using a cross-sectional, population-based approach with 3,182 participants aged 20 or older. The questionnaire originated a score (range 0-25 points). Mean score for the sample was 17.1 (SD=4.0). After adjustment, female gender, age 30 to 40 years, higher social strata, and schooling were strongly associated (p<0.001) with the outcome (knowledge). Weaker associations (p< or =0.01) were observed between the score and higher body mass index, level of physical activity, and white skin color. Based on the results, specific benefits from exercising are still unknown to some population groups. Counseling by teachers on the advantages of an active lifestyle is still not common practice.