Regular physical activity (PA) can enhance the physical and mental health of people with Multiple Sclerosis (MS) because of its impact on muscular strength, mobility, balance, walking, fatigue, pain and health-related quality of life (HRQoL). Previous studies have hypothesized that the relationship between PA and HRQoL is mediated by self-efficacy. The aim of this research is to evaluate whether self-efficacy in goal setting and self-efficacy in the management of symptoms, mediate the relationship between PA and HRQoL, in a similar way to exercise self-efficacy. A sample of 28 participants with MS (18 females) and different levels of physical activity have been recruited and completed the following measures: (a) physical activity (GLTEQ); (b) health-related quality of life (SF-12); (c) self-efficacy in the management of Multiple Sclerosis (SEMS) and, (d) exercise self-efficacy (EXSE). The statistical analysis highlighted that self-efficacy in goal setting mediated the relationship between PA and mental health better than exercise self-efficacy. Our findings suggest that self-efficacy in goal setting can contribute to the adoption and maintenance of regular physical activity for long-lasting times, supporting and increasing the mental quality of life of people suffering from MS.Self-efficacy has been proven to be a key determinant related to adoption and maintenance of physical activity in people with chronic diseases, such as cancer, stroke, spinal cord injury, diabetes, and heart diseases [14][15][16][17][18][19][20].Exercise self-efficacy refers to the confidence people have in their ability to be physically active, such as, for example, their beliefs about achieving 30-150 min of moderate to vigorous physical activity per week [21,22].This aspect was repeatedly investigated in people with MS by Motl et al. [23][24][25][26][27][28][29], who found (a) a positive relationship between exercise self-efficacy and physical activity; (b) a moderate inverse relationship between MS symptoms and exercise self-efficacy.The management of MS-related symptoms (e.g., muscle spasms, balance disorders, thermoregulatory difficulties and muscle weakness) has been also invoked to predict both directly, and indirectly through self-efficacy, the adoption and maintenance of PA in individuals with MS [30].The relevance of symptom's management in people with MS was also stressed by Bonino et al. [31], who developed a new scale to measure self-efficacy in dealing with physical and psychological problems caused by MS. The management of symptoms (e.g., fatigue or negative emotions) allows the patients to experiment a satisfactory quality of life, which is often reduced in people with MS, even when compared with people suffering from other debilitating conditions [32][33][34].The goal setting, coupled with self-efficacy, has assumed a pivotal role in intervention studies aiming to enhance physical activity and to improve HRQoL in persons with MS [35]. In order to receive beneficial effects on physical and mental health, physical activity m...