Building on previous self-concept and current physical self-concept (PSC) theories, this paper presents empirical results demonstrating the triad relationship among physical exercise, PSC, and quality of life (QoL) in older adults. Specifically, the results show how PSC mediates the relationship between physical exercise and health-related quality of life (HQoL). A total of 152 older adults participated in this study, completing the Leisure Time Exercise Questionnaire, Physical Self-Concept Scale for Older Adults, and 12-Item Short-Form Survey. Hierarchical multiple regression analyses were conducted to test the mediating effects. Older adults' physical exercise, PSC, and QoL were all correlated. The components of older adults' PSC (strength, flexibility, and independent functioning) fully mediated the relationship between physical exercise and the physical as well as mental aspects of HQoL. This study thus suggests that PSC plays an important explanatory role in the effect of older adults' physical exercise on their QoL. Health-care professionals may use various strategies to enhance older adults' self-perception during physical exercise in order to promote their global well-being.