Self-efficacy was defined for the first time in 1977 as a conviction that one can successfully execute the behavior required to produce the outcomes and it is studied in physical activity sciences since 1979, demonstrating itself as a possible factor associated with behavioral changes linked to being more physically active in both healthy and non-healthy populations. However, there is a wide range of measurement tools, contributing to high variability across studies, the inability to acquire consistent knowledge about outcomes, and the importance of this concept to physical activity sciences. Thus, through a narrative approach, this review aimed to 1) review the concept and definition of the self-efficacy construct from the early approaches until currently 2) understand the most commonly used tools for measuring exercise/physical activity self-efficacy, as well as the differences between them, finally 3) attempting to formulate recommendations on how to select the most recommended one to use in different populations. To conclude, it is possible to see homogeneity in the definition approached in the published studies, however, there is heterogeneity in the used scales, making important the choice of the most appropriate one, having in mind different questions when opting to choose one.