This study aims to verify the structural relationship and mediating effects of exercise involvement and learning flow on the impact of self-leadership on self-efficacy improvement among Generation MZ college students, based on the phenomenon of increased emphasis on exercise. The study participants were 312 college students (168 males, 144 females) residing in Daejeon and Seoul. The collected data were analyzed through descriptive statistics, confirmatory factor analysis, correlation analysis, and structural equation modeling. The research results are as follows. First, students’ self-leadership and exercise involvement had significant effects on self-efficacy. Second, students’ self-leadership significantly influenced exercise involvement and learning flow. Third, exercise involvement did not have a significant effect on learning flow. Fourth, learning flow had a significant effect on self-efficacy. Fifth, when examining the individual mediating effects of exercise involvement and learning flow in the relationship between self-leadership and self-efficacy, the mediating effect of exercise involvement was not significant, but the mediating effect of learning flow was statistically significant. Sixth, when examining the dual mediating effects of exercise involvement and learning flow in the relationship between self-leadership and self-efficacy, the mediating effects of exercise involvement and learning flow were not statistically significant. In conclusion, the study showed that students’ self-leadership, exercise involvement, and learning flow had significant effects on self-efficacy, and that self-leadership influenced exercise involvement and learning flow. However, exercise involvement did not directly influence learning flow. Additionally, the results suggest that in the relationship between self-leadership and self-efficacy, there was an influence through the process of learning flow, but self-leadership did not influence self-efficacy through the process of exercise involvement.