Many retirees remain insufficiently physically active for health benefits. Self-perceptions can influence physical activity. Possible selves and identity are two self-perceptions that, when examined relative to physical activity, may help explain physical activity levels among retirees. Scholars claim that a focus on possible selves may impact identity, which, in the physical activity domain, is a known physical activity correlate. The aim of this study was to examine the relationship between these variables, and more specifically, to determine whether exercise identity mediates the relationship between physical activity possible selves and physical activity. We examined the proposed mediation relationship in 531 new retirees. Data were collected across three time points (1 month apart). We conducted mediation analyses with bootstrapping. Identity mediated the relationship between possible selves (content and processes) and behavior—all related to physical activity. These findings represent an important first step toward designing relevant physical activity interventions for retirees.