Participation in group physical activity by older adults contributes to relationships and health; it is the most effective way to promote physical and mental health. The purpose of this study was to intervene with a multi-component exercise program to understand exercise behavior, social cohesion, and social support with the older adult explanatory power for health behavior. This study recruited 100 healthy people (50 males and 50 females) over 65 years old (average male age: 76.57 ± 1.46 years; average female age: 74.73 ± 1.68 years). Participants implemented an 8-week multi-component exercise program intervention, and before and after the intervention, the Senior Fitness Test for older adults, the Exercise Behavior, Social Cohesion, and Social Support Questionnaire for older adults and Health Behavior Inventory for older adult were implemented. The results of the study showed that the SFT data in male and female older adults could help improve balance and upper and lower extremity muscle strength. For the HBI test of all participants, in order to avoid tobacco, alcohol, and drug use, they could exercise at least three days per week, for more than 30 minutes each time, mainly outdoor exercise. In this study, exercise behavior had the greatest explanatory power on the health behaviors of older adults, followed by social support and social cohesion, which also had a high predictive power on the health behavior of older adults. Finally, the interventions of the multi-component exercise program in this study were shown to positively affect the older adults' exercise behavior, social support, and social cohesion, with a total positive effect on health behavior. The value of this study is helpful for older adults to adopt outdoor group exercise; creating social opportunities in this way is good for mental health, which, in turn, leads to improved physical and mental health.