This study investigated whether an individual's plan execution self-efficacy precedes mastery of the respective action plan or vice versa. Study participants were 122 cardiac rehabilitation patients. Plan execution self-efficacy and mastery of a personal action plan on physical activity were assessed each week for 6 weeks after discharge from rehabilitation. Physical exercise was assessed 2 months after discharge. Multilevel cross-lagged panel analyses resulted in a positive effect of mastery on subsequent self-efficacy, whereas self-efficacy did not predict subsequent mastery at the within-person level. At the between-person level, however, self-efficacy predicted following physical exercise. Thus, the predictive power of self-efficacy was developed in relation to mastery of personal action plans over time. Implications for behavior change interventions are discussed.