Green exercise, defined as physical activity conducted in natural environments, has gained increasing international attention due to its potential dual benefits for physical health and environmental sustainability. In Malaysia, despite abundant natural resources and government initiatives promoting active lifestyles, participation in green exercise remains relatively limited. Rising levels of physical inactivity and non-communicable diseases underscore the need to better understand the behavioural processes that influence engagement in outdoor physical activity. Grounded in the Stimulus–Organism–Response (S-O-R) model, this study conceptualises green exercise participation as a behavioural outcome shaped through internal cognitive processing. Psychological factors namely attitude, subjective norms, perceived behavioural control, and intrinsic motivation are positioned as stimuli that influence green knowledge, which functions as the organism component. Green knowledge reflects individuals’ awareness and understanding of the environmental and health-related value of engaging in physical activity within natural settings. This internal cognitive state is proposed to shape participation in green exercise. By structuring these relationships within the S-O-R framework, this study contributes to the theoretical understanding of sustainable health behaviour and offers insights relevant to policymakers, public health practitioners, and environmental planners. The proposed model provides a foundation for future empirical investigation and may inform the development of strategies aimed at promoting healthier lifestyles and environmental awareness among Malaysians.