Purpose Physical activity (PA) has been consistently associated with improved self‐esteem in breast cancer survivors. However, this relationship is poorly understood. The purpose of this study was to examine whether changes in PA and self‐efficacy influenced changes in self‐esteem in breast cancer survivors across 6 months. Increases in PA were hypothesized to result in increases in self‐efficacy, which were hypothesized to influence increases in physical self‐worth (PSW) and global self‐esteem. Methods Breast cancer survivors (n = 370; Mage = 56.04) wore accelerometers to measure PA and completed measures of self‐efficacy (e.g., exercise and barriers self‐efficacy), PSW, and global self‐esteem at baseline and 6 months. Results The hypothesized model provided a good fit to the data (χ2 = 67.56, df = 26, p < 0.001; comparative fit index (CFI) = 0.98; standardized root mean residual = 0.05). Women with higher activity at baseline reported significantly higher levels of barrier (β = 0.29) and exercise (β = 0.23) self‐efficacy. In turn, more efficacious women reported significantly higher PSW (β = 0.26, 0.16). Finally, higher PSW was significantly associated with greater global self‐esteem (β = 0.47). Relationships were similar among changes in model constructs over 6 months. After controlling for covariates, the hypothesized model provided an excellent fit to the data (χ2 = 59.93, df = 33, p = 0.003; comparative fit index = 0.99; standardized root mean residual = 0.03). Conclusion Our findings provide support for the role played by PA and self‐efficacy in positive self‐esteem, a key component of well‐being. Highlighting successful PA mastery experiences is likely to enhance self‐efficacy and improve self‐esteem in this population. Copyright © 2016 John Wiley & Sons, Ltd.