This study tested the Theory of Planned Behaviour (TPB) in conjunction with two sets of variables from the Health Action Process Approach (HAPA) and the Subjective Exercise Experience Scale (SEES) to predict exercise behaviour. This study included 454 participants who exercised in a fitness centre. We collected measures of the TPB (attitudes, subjective norms, perceived behavioural control, and intention), HAPA (planning), and SEE (positive well-being, psychological distress, and fatigue) and assessed exercise behaviour at a three-month follow-up. Structural equation modelling found partial support for the TPB model (explaining 10% of the variance in exercise behaviour) and adequate fit indices for an adjusted model of the TPB that includes a positive well-being dimension (explaining 11% of the variance in exercise behaviour). In sum, the original TPB partially predicts exercise behaviour; when considered together with other predictors, limited evidence was found for its utility in explaining exercise behaviour.