The purpose of this study is to investigate the effects of Pilates exercise on breath, concentration, and self-efficacy. A total of twenty participants who had never done Pilates before were divided into two groups. Only the experimental group performed a Pilates exercise program three times a week for a trial period of six weeks. After the six week period, participants were measured using Helams, Baffle plate, and a questionnaire for breath, concentration and self-efficacy respectively. The results of this study indicate that there are a significant differences in post-trial measurements in breath, concentration and self-efficacy between the experimental and the control group. However, there were no significant differences between pre-trial and post-trial measurements within the control group. Therefore it was concluded that when normal people do Pilates exercises for six weeks, the exercise program can significantly improve breath, concentration, and self-efficacy.