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Physical activity plays a crucial role in maintaining health and reducing stress, particularly among students in demanding disciplines such as nursing. This study examines how social media and self-efficacy influence exercise behavior and stress relief, drawing on the Social Cognitive Theory and Uses and Gratifications Theory. Data were collected from 295 Vietnamese undergraduate nursing students and analyzed using structural equation modeling (SEM). The results reveal that both social media use and self-efficacy significantly and positively affect stress relief, with exercise behavior acting as a mediating variable. The proposed model explains 69.2% of the variance in exercise behavior and 57.8% in stress relief. These findings suggest that exposure to fitness-related content and higher confidence in one’s ability to exercise contribute to greater engagement in physical activity and improved stress management. The study highlights the importance of integrating digital media and self-efficacy enhancement strategies into university health promotion programs. Universities should consider using social media platforms to share motivational content, facilitate online exercise communities, and organize student-led fitness initiatives. Policy-makers may also support campaigns promoting physical activity as an effective stress management strategy for health-related professions.