This study aimed to investigate the importance of exercise among university students and the process of change in self-efficacy. It considered the relationship between the importance of exercise and developmental changes in self-efficacy and the factors that affect self-efficacy. Semi-structured interviews were conducted among eleven university students. Consequently, especially in childhood, the high importance of exercise due to the feeling of being good at exercise had a positive effect on self-efficacy while being bad at it had a negative impact. However, the influence gradually weakened after joining junior high school. Additionally, when the participants were divided into good and weak groups on the basis of their exercise awareness, the good group supported self-efficacy in various exercise elements. The study hypothesized that the experience of recovering from setbacks in competitions was one of the factors contributing to current high self-efficacy. Participants in the weak group were characterized by the fact that continuing to participate in a club activity affected their self-efficacy. Furthermore, self-confidence allowed them to persevere through club activities without avoiding whatever they were not very good at, and positive interpersonal relationships supported self-efficacy.