Studies on the adoption and maintenance of group exercise behavior are scarce. The objective of this study is to test two self-efficacy based interventions to increase barrier self-efficacy and group exercise behavior. In total 122 participants (M_age 42.02 yr.; SD 12.29; 67% females) were recruited and randomly assigned to one control and two experimental groups. The control group was limited to participate in one virtual group exercise program only (group 1). The first experimental group was able to self-set their activities and participate in multiple group exercise programs (group 2). The second experimental group received an additional monthly coaching protocol to manage self-set goals (group 3). A validated scale for barrier self-efficacy was used, group exercise sessions were measured and drop-out rates were registered. An ANOVA indicated that mean amount of sessions of group 1 and 3, and 2 and 3 differed significantly (p < 0.05) in 12 weeks. Descriptive statistics demonstrate mean group exercise sessions over the total of 12 weeks of 2.74 (SD 4.65) in the control group; 4.75 (SD 6.08) in the first experimental group, and 12.25 (SD 9.07) for the second experimental group. Regression analysis indicated that self-efficacy at 8-weeks explained the highest variance in overall group exercise sessions (R² = 0.18; p < 0.05). Overall drop-out rates were 88% in group 1, 78% in group 2 and 48% in group 3. The results showed that group exercise behavior can significantly be improved by a coaching protocol on self-set goals. Future research should address the effectiveness of self-set activities and self-set goals for a longer period of time and in other types of exercise programs.