Background: Academic procrastination (AP) has been a common problematic behavior in college students. While physical activity (PA) has been reported to increase self-efficacy and reduce AP, less is known about the potential relationships among them. Therefore, this study aimed to investigate the mediating effect of self-efficacy on the relationship between PA and AP. Methods: 687 Chinese college students (51% males, 49% females) aged 17–23 years (M = 19.59, SD = 0.89) participated in the study. PA, self-efficacy, and AP were assessed using the Physical Activity Rating Scale-3 (PARS-3), the Generalized Self-Efficacy Scale, and the Procrastination Assessment Scale-Students (PASS), respectively. Pearson correlation analysis, linear regression analysis, and mediation analysis were used to analyze the data. Results: (1) PA has a significant and negative impact on college students’ AP, (2) PA has a significant and positive impact on college students’ self-efficacy; (3) self-efficacy has a significant and negative impact on AP in college students; and (4) self-efficacy significantly mediates the relationship between PA and AP. Conclusions: PA is an effective intervention for directly and indirectly decreasing college students’ AP. Therefore, more intervention efforts should focus on the promotion of PA in higher education to improve students’ self-efficacy and thus, to reduce AP among college students.