Although the health benefits of exercise for individuals with Persian Gulf War veterans illnesses (GWVI) are documented, many of these individuals do not exercise regularly enough to obtain benefits. The purpose of this study was to investigate factors predicting exercise compliance among individuals with GWVI in a multicenter, randomized, clinical trial. Participants were 1,092 veterans who reported at least two of the following cardinal symptoms of GWVI: (1) fatigue, (2) musculoskeletal pain, and (3) cognitive problems. Participants received exercise alone or exercise and cognitive-behavioral therapy. The overall level of compliance was relatively low during the exercise treatment phase (46.2%) and decreased by one-half during the follow-up period (23.0%). Predictors of compliance during treatment included less pain and greater age, motivation, and body mass index. Predictors of compliance during the follow-up period included less pain and greater age. The results highlight factors that affect adoption and maintenance of physical activity in a population with GWVI.