Maintaining a high quality of life and robust health as one grows older may be associated with higher general self-efficacy (GSE) and self-esteem (SEM). This study compares the effects of three types of exercise interventions (resistance training, proprioceptive training, and Nordic walking) on GSE and SEM. The final analysis included results of 34 adults (aged >= 65 years) who were not engaged in regular physical activity at least one year. Results indicate that physical exercise significantly positively affected GSE only in the resistance training group. No significant change of SEM occurred. The negative correlation between the initial level of GSE and the effect of physical exercise suggests that physical exercise may have a greater effect on people with low GSE. The positive correlation between the initial levels of GSE and SEM indicates the link between them. However, no association between changes in GSE and SEM over the intervention was found.