The purpose of this study was to examine the relationship between control beliefs, socioeconomic status and exercise intentions and behavior. Specifically, we examined whether distal and proximal control beliefs mediated the association between socioeconomic status and exercise intentions and behavior. A one time, cross sectional mail out survey (N = 350) was conducted in a large urban Canadian city. Distal (i.e., personal constraints) and proximal (i.e., scheduling self-efficacy) control beliefs mediated the association between socioeconomic status and exercise, explaining approximately 30% of the variance. Proximal control beliefs (i.e., scheduling self-efficacy) partially mediated the association between socioeconomic status and intentions, with the models explaining approximately 50% of the variance. Compared to individuals with lower socioeconomic status, individuals with higher socioeconomic status reported more exercise and stronger intentions to exercise. This was at least partly because higher socioeconomic status respondents reported fewer barriers in their lives, and were more confident to cope with the scheduling demands of exercise.