Aims: Socioeconomic health inequalities are partly attributed to different physical activity (PA) patterns. Psychosocial factors interacting with PA are suggested to explain the socioeconomic differences in PA to some extent. The aim of the present study was to examine whether PA self-efficacy, PA social support, and general self-control contribute to the socioeconomic status (SES) differences in leisure time physical activity (LTPA) and in total PA. Methods: The sample consisted of 25–74-year-old Finnish men ( n = 2325) and women ( n = 2699), who participated in the cross-sectional FINRISK Study in 2007. Physical activity was measured as total PA (MET-h/week) and as LTPA (inactive/active). A psychosocial factor questionnaire included scales measuring PA self-efficacy, PA social support, and general self-control. SES was defined by household gross income and years of education. Results: Both higher education and income were associated with higher levels of LTPA, whereas total PA was higher among those with lower SES. Subjects with high SES reported higher levels of PA self-efficacy and PA social support, but general self-control correlated only with higher income. PA self-efficacy, PA social support and general self-control had positive associations with both LTPA and total PA. These psychosocial factors partly explained the SES differences in LTPA, but not in total PA. Conclusions: Future intervention studies should examine whether, by influencing PA self-efficacy, PA social support, and general self-control, it is possible to diminish the SES differences in PA.