The interruption of regular physical exercise among Chinese college students is a key cause of the lack of motivation to exercise. Therefore, on the basis of self-efficacy theory, this study analysed the interrelationships between the perception of transformational leadership in physical education (PE) by teachers, physical self-efficacy, and exercise adherence among Chinese college students. A questionnaire survey was conducted using a convenience sample of 448 students from five universities in Hebei Province, China. They perceived transformational leadership by PE teachers to significantly positively influence exercise adherence. In addition, physical self-efficacy partially mediated the relationship between college students' perceptions of transformational leadership by PE teachers and exercise adherence. These findings suggest that university administrators could encourage PE teachers to make greater use of transformational leadership and improve education and guidance regarding physical self-efficacy for college students to promote exercise adherence.