The primary purpose was to examine the relationship between group goal setting and group performance in an exercise setting. The secondary purpose was to determine whether cohesion, self-efficacy, and physical activity level influenced the magnitude of the group-goal/group-performance relationship. The sample consisted of 6,356 participants (N = 1,325 groups) who were registered for an 8-week walking program. Results revealed a positive and significant relationship between group goal setting and group performance. Analyses also showed that cohesion was not a moderator while physical activity level and self-efficacy were; the strength of the relationship between group goal setting and group performance was enhanced as the group average for self-efficacy and physical activity increased. Further analyses revealed that physical activity level and self-efficacy interacted in a conjunctive manner to influence the group-goal/group-performance relationship; groups high in physical activity and self-efficacy showed a stronger relationship than groups with other combinations of the two.