The behavioral processes of weight reduction are poorly understood, and responses to treatments based primarily on caloric restriction have been unfavorable. A theory-based path derived from proposed relations of physical activity, changes in psychological factors, and weight loss was separately tested with women with Class I and Class II obesity (body mass index [BMI] from 30 to 39.9 kg/m2; n = 116), and Class III (BMI ≥ 40.0 kg/m2; n = 57) obesity. Participation in a cognitive-behavioral exercise support treatment along with nutrition education was significantly associated with changes in measures of self-efficacy, body satisfaction, and mood. Changes did not significantly differ by BMI group. Multiple regression analyses indicated that changes in the psychological factors explained 14% (Class I/II obesity group) and 22% (Class III obesity group) of the variance in exercise session attendance, and attendance was strongly related to weight loss. Implications for weight loss theory and treatment are discussed. © 2010 SOPHE.