Asthma and obesity are common coexisting conditions with increasing prevalence and substantial morbidity. This study examines the inter-relationship between illness and treatment beliefs in asthma and obesity and how they influence self-management behaviors. Overweight and obese adults ≥ 18 years with asthma were recruited from primary care and pulmonary practices in New York, NY and Denver, CO (n = 219). Path analysis was used to examine the relationship between asthma, weight and exercise-related illness and medication beliefs and SMB. Necessity beliefs about asthma medications and diet were associated with better medication adherence and healthier dietary behaviors (β = 0.276, p  = < 0.001, β = 0.148, p  = 0.018 respectively) whereas concerns about these self-care activities were associated with poorer adherence and worse dietary behaviors (β = − 0.282, p  < 0.001, β = − 0.188, p  = 0.003 respectively). We found no statistically significant association of exercise behaviors with any other weight or asthma illness or treatment beliefs. Our study demonstrates that necessity and concerns about treatment are associated with adherence in asthma and obesity. The lack of association of exercise behaviors with any asthma or weight related beliefs may reflect limited awareness of the impact of weight on asthma and warrants additional research.