Background: The aim of the present work is the elaboration of a systematic review of existing research on physical fitness, self-efficacy for physical exercise, and quality of life in adulthood. Method: Using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) statement guidelines, and based on the findings in 493 articles, the final sample was composed of 37 articles, which were reviewed to show whether self-efficacy has previously been studied as a mediator in the relationship between physical fitness and quality of life in adulthood. Results: The results indicate that little research exists in relation to healthy, populations with the majority being people with pathology. Physical fitness should be considered as a fundamental aspect in determining the functional capacity of the person. Aerobic capacity was the most evaluated and the 6-min walk test was the most used. Only one article shows the joint relationship between the three variables. Conclusions: We discuss the need to investigate the mediation of self-efficacy in relation to the value of physical activity on quality of life and well-being in the healthy adult population in adult life.