Self-efficacy, conceived as the belief in being able to perform a task despite the difficulties, is one of the most consistent predictors of initiation and maintenance of physical activity in people of all ages, but even more, in the elderly. Therefore, this review first describes self-efficacy and its distinction from similar constructions and incorporates self-efficacy into the socio-cognitive theory where it was first described. Then, the main approaches of different disciplines to promote self-efficacy are described, and consequently, physical activity; focusing on the evidence available in the area of health sciences of how to boost the sources of this important self-confidence in the elderly.