Better management by individuals of their long-term conditions is promoted to improve health and reduce healthcare expenditure. However, there is limited evidence on the determinants and consequences of self-management activity. We investigate the determinants of two forms of self-management, exercise and relaxation, and their impact on the health and wellbeing of 3472 individuals with long-term health conditions over a 1-year period. We use simultaneous recursive trivariate models to estimate the effects of these two inputs on three health and wellbeing outcomes: the EuroQol five-dimensional (EQ-5D) score, self-assessed health and happiness. We reflect the opportunity cost of time and knowledge with employment status and education and find that employment reduces relaxation and education increases exercise. We find that neither exercise nor relaxation affects the EuroQol five-dimensional score, but exercise increases self-assessed health and relaxation increases happiness. Our findings show that individuals tailor their self-management activities to their economic constraints, with effects on different aspects of their utility. Interventions to encourage self-management should take account of heterogeneous effects and constraints.