Decisional balance (DB) is the perceived positive aspects (advantages) and negative aspects (disadvantages) that are associated with behavioural change. Behavioural change is dependent on an individual’s thoughts after considering the advantages of engaging in exercise. When the benefits exceed the barriers, people are more likely to make changes after cognitively evaluating the functional aspects. The purpose of the present study is to determine the validity and reliability of the DB scale among Malaysian university students using a confirmatory factor analysis (CFA). A cross-sectional study was carried out among students who took part in the co-curricular program. By using the purposive sampling method, students were recruited and given written informed consent forms after acknowledging they understood the purpose of the study. The DB scale, which consists of two factors, namely, advantages and disadvantages, was used as the instrument in the study. The advantages referred to the benefits of participating in exercise, whereas the disadvantages referred to the barriers to exercise. The 10-item, self-administered questionnaires were distributed to participating students. Data were analysed using Mplus 8 for the CFA. A total of 562 students (females = 444, males = 118) with a mean age of 19.81 years (SD = 1.22) participated in the study. Most of the students were engaged in regular physical activity for at least three exercise sessions (mean = 2.62) per week, and the average duration per session was 43 minutes. The hypothesised measurement model of DB did not fit the data well; thus, the measurement model was re-specified. The final measurement model fit the data well (comparative fit index (CFI) = 0.960, Tucker–Lewis index (TLI) = 0.943, standardised root mean square residual (SRMR) = 0.055, root mean square error of approximation (RMSEA) (90% confidence interval (CI)) = 0.061 (0.047, 0.074), RMSEA p-value = 0.096). The composite reliability values of 0.757 for the advantages and 0.792 for the disadvantages were acceptable. The 10-item DB scale with two factors displayed a good model fit for the data with good scale reliability. This could be beneficial for Malaysian undergraduate students in making decisions before engaging in physical activity. The benefits of, and barriers to, exercise could be an important component that affects their decision making.