Physical activity is associated with a myriad of health benefits, yet rates of physical activity among adults in the United States remain low and traditional medical interventions often don’t address activity behavior. Despite evidence supporting the use of physical activity counseling in medical settings, the mechanisms involved are not well established and there is a lack of consensus on the best approach to use. Rooted in social cognitive theory, self-efficacy has emerged as a key construct relative to physical activity behavior and general health behavior change. This study investigated the potential role of self-efficacy as a mediator in the relationship between physical activity counseling and physical activity behavior. An online survey was completed by 119 adults with recent visits to a primary care provider. The survey assessed current activity level, health status, perceived self-efficacy, and components of the physical activity counseling received during the recent visit. Results indicated that self-efficacy significantly predicted physical activity behavior independent of physical activity counseling exposure. Neither self-efficacy nor behavior were predicted by physical activity counseling in the present sample. Results did not find self-efficacy to mediate the relationship between counseling and behavior. Results from this study indicate a need for further research to explore the potential mechanisms of action for behavior change and additional approaches to improve the implementation of physical activity counseling.