Purpose: The study was performed to identify exercise self-efficacy, depression, and stress by the stage of change in exercise behavior in middle aged women. Method: The subjects consisted of 317 women residing in B city by convenience sampling. The collected data was analyzed by the SPSS/WIN program. Result: The subjects were distributed in each stage of exercise behavior change: There were 53 subjects in the pre-contemplation stage, 86 subjects in the contemplation stage, 88 subjects in the preparation stage, 51 subjects in the action stage and 39 subjects in the maintenance stage. Analysis of variance showed that exercise self-efficacy (F=39.9, p<.001), depression (F=5.58, p<.001), and stress (F=6.33, p<.001) were significantly associated with the stages of exercise behavior change. There was a significant negative correlation between the stage of change and depression, and the stage of change and stress, but a significant positive correlation between the stage of change and self- efficacy, depression and stress. Conclusion: This study identified that exercise self-efficacy, depression and stress were significant variables to explain a possible relationship with exercise stages of middle aged women. This study provides new information to influence the development of better health promotion and exercise intervention for middle aged women in the community.