In the context of exercise psychology, the mediating relationship between peer support, self-efficacy and self-regulation, and adolescents’ exercise adherence was to be explored. Methods: A questionnaire was distributed among 2200 teenagers from twelve middle schools in Shanghai. The “process” program in SPSS and the bootstrap method were applied to construct and analyze the direct and indirect effects of peer support on adolescents’ exercise adherence. Results: Peer support directly affected adolescents’ exercise adherence (β = 0.135, p < 0.001, effect size of 59%) and self-efficacy (β = 0.493, p < 0.001, effect size accounted for 42%), and self-regulation (β = −0.184, p < 0.001, effect size of 11%) influenced exercise adherence indirectly. In addition, self-efficacy and self-regulation could impose a chain-mediated effect on peer support and exercise adherence (effect size of 6%). Conclusion: Peer support could promote adolescents’ exercise adherence. Self-efficacy and self-regulation are mediating factors of peer support on exercise adherence in teenagers, self-regulation as well as self-efficacy-imposed chain-mediating effects on peer support and adolescents’ exercise adherence.