Stress exposure may undermine exercisers’ capability to self-regulate their exercise behaviour. This longitudinal study examined the interplay between perceived stress, exercise self-regulation (assessment of action and coping planning) and participation in vigorous exercise in vocational students. Moreover, this study examined whether high exercise self-regulation moderates the assumed negative relationship between stress and exercise. A sample of 580 physically active vocational students ((Formula presented.) ± s 17.8 ± 1.3 years, 33.8% girls) was assessed. All participants completed two identical validated questionnaires assessing stress, exercise self-regulation and exercise with a span of 10 months in between survey completion periods. The cross-sectional analyses show that high exercise self-regulation attenuated the assumed negative relationship between stress and exercise. In the longitudinal analyses, however, only a non-significant trend was found. Significant longitudinal relationships existed between exercise self-regulation and exercise involvement. Latent difference score models revealed that a drop in the exercise self-regulation was associated with a concurrent decrease in exercise participation. Cross-lagged panel analyses showed that high exercise self-regulation levels positively predicted exercise behaviour, but an inverse relationship was not supported. The findings suggested that higher exercise self-regulation levels were positively associated with future exercise involvement in currently active adolescents. While partial support was found that exercise self-regulation moderated the influence of stress on exercise, the findings demonstrated that higher exercise self-regulation levels had a positive impact on future exercise involvement in already active individuals.