Adolescence is the period in which physical-activity habits either take root or quietly unravel, and in China crowded timetables and examination pressure make the second outcome unusually common. What separates the adolescents who keep exercising from those who drift away is therefore a question with real public-health stakes, and beliefs about whether athletic ability can be developed offer one promising but under-tested answer. Drawing on social cognitive theory and self-determination theory, we specified a moderated serial mediation model and examined it in 860 adolescents aged 12 to 18, sampled from eastern, central, and western China. Growth mindset, exercise self-efficacy, intrinsic motivation, perceived exercise climate, and baseline persistence were assessed at Time 1; exercise persistence was reassessed 1 month later and served as the outcome, with baseline persistence controlled. The analytic sequence combined confirmatory factor analysis, tests of measurement invariance across gender and school level, structural equation modeling with cluster-robust standard errors, bias-corrected bootstrapping with 5,000 resamples, and an unconstrained product-indicator test of latent moderation. Growth mindset was associated with exercise persistence both directly (β = 0.14) and indirectly through exercise self-efficacy (β = 0.110), through intrinsic motivation (β = 0.082), and through the sequential chain running from self-efficacy to intrinsic motivation (β = 0.053); the three indirect paths together accounted for 63.6% of the total association. Perceived exercise climate moderated the first stage, so that the mindset-to-efficacy link was close to twice as strong under mastery-oriented perceptions (index of moderated mediation = 0.032, 95% CI [0.011, 0.058]). The pattern survived the addition of demographic covariates, the control of baseline persistence, and adjustment for school-level clustering, although a design of this kind licenses statements about association rather than about causal mechanism. Practically, the findings suggest that work on adolescents’ beliefs and work on the climates they train in belong together rather than apart.