The impact of exercise on health is potentially significant yet relatively few people exercise. The paper reports two exploratory, community-based, cross-sectional retrospective surveys which investigated the cognitions of aerobic exercisers and non-exercisers. Specifically, an analysis was undertaken of differences between exercisers and non-exercisers, between males and females, and between those under 40 and those over 40 years of age on health beliefs, exercise cognitions, knowledge and attributions. Results from Study 1 (N = 433) showed clear differences between exercise, age and gender groups on health beliefs, knowledge and attributions with exercisers having a more positive cognitive profile. Non-exercisers, contrary to the Health Belief Model, were characterised by perceptions of vulnerability to general and cardiac ill-health. Study 2 (N = 468) supported these results and also showed that older people had more negative beliefs and worries about exercise than younger people. Discussion of the results centres on the need for further research on the causality and prediction of exercise and other health-related behaviours from cognitive factors.