The Theory of Planned Behaviour (TPB) can identify cognitions that predict differences in behaviour between individuals. However, it is not clear whether the TPB can predict the behaviour of an individual person. This study employs a series of n-of-1 studies and time series analyses to examine the ability of the TPB to predict physical activity (PA) behaviours of six individuals. Six n-of-1 studies were conducted, in which TPB cognitions and up to three PA behaviours (walking, gym workout and a personally defined PA) were measured twice daily for six weeks. Walking was measured by pedometer step count, gym attendance by self-report with objective validation of gym entry and the personally defined PA behaviour by self-report. Intra-individual variability in TPB cognitions and PA behaviour was observed in all participants. The TPB showed variable predictive utility within individuals and across behaviours. The TPB predicted at least one PA behaviour for five participants but had no predictive utility for one participant. Thus, n-of-1 designs and time series analyses can be used to test theory in an individual.