Purpose: The present study examined how self-efficacy and parental support (autonomy and controlling support) mediate and moderate between exercise intention and exercise behavior in children. Methods: Mediation, Moderation, and Conditional process analysis was used with 252 children. Results: The results indicated that the positive association between intention and behavior partially mediated by self-efficacy, and this indirect link was stronger for students with low autonomy and controlling support than for those with high autonomy and controlling support. In addition, both autonomy and controlling support moderated the relationship between intention and self-efficacy. Autonomy support moderated the relationship between self-efficacy and behavior but not the relationship between intention and behavior. On the contrary, controlling support moderated the relationship between the relationship between intention and behavior but not the relationship between self-efficacy and behavior. Conclusion: These findings suggest that intention is positively link to behavior in children’s exercise settings, and self-efficacy and parental supports are key mechanisms in the relationship.