Introduction and purpose: Self-efficacy is considered an antecedent for physical activity levels in fibromyalgia patients. However, the influence of the fear of movement and fatigue on the self-efficacy to reduce physical inactivity is still not clear and could be critical in improving the biopsychosocial benefits of therapeutic exercise. In this way, the present study aims to assess the relationship between self-efficacy, fatigue, fibromyalgia impact, the fear of movement, and physical activity. Additionally, it aims to explore differences among patients based on self-reported physical activity levels. Material and methods: A sample of 115 women diagnosed with fibromyalgia were evaluated in this prospective study. The variables were the impact of fibromyalgia, the fear of movement, fatigue, self-efficacy, and physical activity levels. Results: Patients with high and moderate physical activity levels had higher self-efficacy for physical function (p < 0.05), which is in line with the previously known model. Furthermore, a model was developed where the significant relationship between the fear of movement and self-efficacy for physical activity was significantly mediated by general fatigue and the impact of fibromyalgia on physical function. Conclusions: The fear of movement may influence self-efficacy, affecting physical activity levels; therapeutic exercises targeting the fear of movement can enhance self-efficacy and activity levels, while fatigue and fibromyalgia may mediate this relationship.