The purpose of this study was to determine the relationship between exercise self-efficacy and psychological, social, intellectual, emotional, spiritual and physical dimensions of wellness. The research method was correlation. For this purpose, 285 male and female physical education students were selected as the sample via random sampling. In order to collect data, questionnaires of perceived wellness survey and self-efficacy and exercise habits survey were used. Pearson correlation was conducted to explore the relationship of variables. Linear multiple regression model was used to assess the role of variables in evaluating perceived wellness and the subscales of wellness. Results indicated that total exercise self-efficacy significantly predicted perceived wellness and the wellness subscales of physical, spiritual, intellectual, psychological and emotional dimensions (P<0.05). Exercise self-efficacy did not significantly predict social wellness. The results of regression analysis showed that exercise self-efficacy could predict emotional, psychological, intellectual, spiritual and physical wellness. It can be concluded that participation in sport and physical activity in a prolonged period would increase with focus on improving exercise self-efficacy and promoting beliefs in the ability to participate in physical activity and using the framework of social cognitive theory.