Objective: Health beliefs of overweight adults who did and did not enter an exercise program were compared to identify possible factors that hamper people to enter such a program. Method: Participants (n = 116, 78 women and 38 men) were overweight adults without comorbidities. Self-report instruments examined the burden of suffering, beliefs related to physical exercise and obesity, somatic complaints, and obesity-related quality of life of new participants of exercise programs versus sedentary non-exercisers. Results: The mean BMI of exercisers and non-exercisers was 34.6 ± 7.0 and 32.8 ± 5.8 kg/m2, respectively. Fear of injury was higher and perceived health benefits of exercise were lower in the non-exercisers who also more often believed their overweight to be irreversible and attributed overweight to physical causes. The burden of suffering, somatic complaints, and quality of life of the groups were not significantly different. Fear of injury remained a significant predictor of belonging to the non-exercise group after controlling for other variables and multiple testing. Conclusion: Research is needed to examine whether the inflow of overweight people in exercise groups increases when health beliefs are recognized, considered, and discussed both in interventions and in public health campaigns promoting physical exercise in sedentary, overweight people.