The present study aimed to investigate the perceived extent of competence of self-leadership as well as the extent to which the participants exercise self-leadership strategies in physical activities (competitive and recreational). Additionally, the existence of potential individual differences in gender- and form of physical activity-related self-leadership strategies. Three hundred seventy-three undergraduate students from a Greek university (n = 197 men, and n = 176 women) with age range were between 18–24 years (M = 20.12, SD = 2.35) participated. All participants participated in physical activities. They filled out a validated Greek version of the Revised Self-leadership Questionnaire (RSLQ). Results revealed that participants reported (a) some positive self-leadership tendencies and (b) higher scores in the strategies such as self-goal setting, natural rewards and self-talk. Additionally, the findings demonstrated that self-leadership strategies may interact with gender and type of physical activity.