Behavioral theory suggests that treatments that increase participants’ use of self-regulatory skills and/or their feelings of ability (self-efficacy) will improve exercise and nutrition behaviors. In addition, psychosocial factors associated with increased exercise may carry over to improved eating. Self-regulation might enhance self-efficacy through feelings of ability to manage barriers to maintaining weight-loss behaviors. Sedentary adults with severe or morbid obesity (Mage = 43 years; MBMI = 40.1 kg/m2) participated in a 6-month study within a community-based YMCA center. We randomly assigned participants to one of the two groups that incorporated the same cognitive-behavioral support of exercise paired with methods for controlled, healthy eating emphasizing either (a) self-efficacy (n = 138), or (b) self-regulation (n = 136) methods. Mixed model repeated measures ANOVAs indicated significant improvements in exercise- and eating-related self-regulation over 3 months, and exercise- and eating-related self-efficacy over 6 months. The Self-Regulation Treatment Group demonstrated greater improvements in self-regulation for eating and fruit and vegetable intake than the Self-Efficacy Group. Regression analyses indicated that for both exercise and eating, self-regulation change significantly predicted self-efficacy change. In separate equations, changes in exercise and fruit and vegetable intake mediated those relationships, and change in self-efficacy and the corresponding behavioral changes demonstrated reciprocal, mutually reinforcing, relationships. There was evidence of carry-over, or generalization, of both self-regulation and self-efficacy changes from an exercise context to an eating context. We discussed findings in terms of leveraging self-regulation to improve self-efficacy, and provide a rationale for why exercise is the strongest predictor of success with weight loss. Results may be used to inform future behavioral weight-management treatments through improved knowledge of relationships among theoretically derived psychosocial factors.