Past research has demonstrated that workplace exercise programs can improve mental and physical wellbeing and quality of life. However, to achieve these outcomes, exercise initiatives need to secure the participation of employees. The aim of this research was to investigate how employee perceptions of individual and organisational factors may influence their participation in workplace exercise initiatives. This study adopted a mixed-methods design consisting of an online survey (N = 98), followed by semi-structured interviews. All survey participants had been given the opportunity to participate in an exercise initiative in their organisation. We found a significant relationship between leadership support for wellbeing and participation in the exercise initiative. This relationship was further moderated by perceived employer intentions, such that the more genuine and caring employer’s intentions are perceived to be, the more likely employees were to participate in the exercise initiative. Leadership support for wellbeing was also positively associated with sustained frequency of participation. This research of practical significance as it highlights the importance of positive leadership in fostering physical wellbeing in the workplace. It reinforces that sustained participation in workplace exercise initiatives requires deliberate planning, promotion and support from organisational leaders.