Introduction: Exercise has received attention as a method to prevent or reduce postcessation weight gain. However, little is known about how weight changes following quit attempts contribute to the relationship between exercise and smoking cessation. The present study assessed how exercise relates to cessation and whether initial changes in exercise after quitting smoking promote cessation through attenuated weight gain. Methods: Weight-concerned women smokers (N = 342) receiving cessation treatment provided biochemical validation of cessation, reported weekly exercise activities, and were weighed at 1, 3, and 6 months following treatment initiation. Survival analyses were used to determine time to and risk of relapse among women who reported engaging in varied levels of exercise at baseline. A mediation analysis was used to examine whether the effect of initial changes in exercise on longer-term cessation was driven by change in weight. All analyses were adjusted for relevant covariates. Results: Women smokers who reported high levels of exercise at baseline were less likely to relapse and returned to smoking more gradually than did women who reported low levels of exercise. Change in weight did not mediate the relationship between exercise and cessation. Conclusions: Cessation interventions utilizing an exercise component may have to develop exercise regimens of either higher duration or greater intensity to produce beneficial cessation outcomes, particularly when targeting sedentary smokers. Given that change in weight did not mediate the relationship between exercise and cessation, it is likely that other mediational processes are involved.