There is an obvious disconnect between evidence of benefits and rates of participation in exercise and physical activity among people living with multiple sclerosis (MS). We propose that the problem with exercise behavior in MS (i.e. lack of broad or increasing participation by people with MS despite evidence of meaningful benefits) might be ameliorated through the inclusion of behavior change theory in the design of exercise programs and promotion efforts, as has been undertaken in other populations such as breast cancer survivors. This paper reviews Social Cognitive Theory as an example approach for informing interventions for increasing exercise and physical activity behavior outside of MS and provides an overview of current knowledge regarding the application of this theory for physical activity in MS. We then outline future research necessary for informing trials that design, implement, and test theory-based interventions for physical activity promotion in MS. If theories of behavior change are adopted for informing exercise and physical activity research in MS, we can take a major step forward in addressing the problem of exercise and physical activity participation that has plagued the field for more than 25 years.