Although self-efficacy (SE) is an important determinant of regular exercise, it is unclear how subjective and physiological states before, during, and after the exercise session affects post-exercise SE. The aim of this study was to clarify subjective and physiological factors affecting post-exercise SE assessed after a single exercise session at a physiologically equivalent level. Forty-three healthy volunteers (28 women, 15 men) completed an 82-min experimental session, comprising a 22-min pre-exercise rest, a 30-min steady-state cycling exercise at moderate intensity [40% of heart rate (HR) reserve], and a 30-min post-exercise rest. We measured physiological (HR) and subjective [Rating of Perceived Exertion (RPE), Feeling Scale (FS)] states during the experimental session. Autonomic states were assessed by power spectral analysis of heart rate variability (HRV) during pre- and post-exercise rest. Post-exercise SE, which was the participants' confidence in their ability to perform the 30-min exercise that they had just performed, was assessed at 30-min post-exercise. A stepwise multiple regression analysis, with post-exercise SE as the dependent variable and physiological and subjective measures of the exercise as candidate explanatory variables, showed that post-exercise SE was negatively correlated with RPE and positively correlated with FS at the end of the 30-min exercise. In addition, post-exercise SE was negatively correlated with high-frequency power of the post-exercise HRV, an index of parasympathetic function. These results indicate that post-exercise SE is related not only to subjective responses to the exercise but also to autonomic response after the exercise.