Background: Understanding the factors that sustain physical activity among college students is crucial for promoting a healthy lifestyle, as emphasized by the United Nations’ Sustainable Development Goal 3. While the link between physical activity and health outcomes is established, less is known about how physical exercise self-efficacy (PESE) influences persistent exercise behavior (PEB) through different forms of physical activity engagement (PAE). This study investigates whether PESE promotes PEB via cognitive, emotional, and behavioral engagement, based on self-determination theory (SDT) and engagement theory. Methods: An online cross-sectional survey was conducted from July 16 to August 16, 2023, involving 900 Chinese college students recruited through convenience sampling on the Questionnaire Star platform, the participants were selected through convenience sampling, which ensured the inclusion of a diverse demography across various grades, educational backgrounds, and study fields. Before the participants provided informed consent, they were briefed on the study’s objectives, data processing procedures, and privacy protections. Validated scales assessed PESE, PAE, and PEB. Data quality was ensured by excluding invalid or incomplete responses. Statistical analyses were performed in several stages. Using SPSS, item and reliability analyses of the research instrument were performed to confirm internal consistency. Then, the confirmatory factor analysis was performed for each scale by using AMOS. Finally, structural equation modeling was used to validate the proposed research model and conduct path analysis, thereby assessing the hypothesized relationships among PESE, PAE, and PEB. Results: PESE positively influenced cognitive, emotional, and behavioral engagement in physical activity. These forms of engagement, in turn, positively affected fluency experience (FE), which subsequently enhanced PEB. The findings indicate that PESE augments FE by improving PAE, leading to sustained exercise behavior among college students. Conclusions: The study demonstrates the critical role of PESE in fostering persistent exercise behavior through its impact on cognitive, emotional, and behavioral engagement. These insights highlight the importance of designing interventions that enhance PESE and PAE to promote long-term commitment to physical activity among college students, supporting broader health and well-being goals.